A Markov-switching multifractal inter-trade duration model, with application to US equities
Authors:
- Fei ChenFCFei Chen
- Francis X. DieboldFDFrancis X. Diebold
- Frank SchorfheideFSFrank Schorfheide
- 1 December 2013
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 177 (2) , 320-342
Abstract
No abstract availableAll Related Versions
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