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A Markov-Switching multi-fractal inter-trade duration model, with application to U.S. equities /

Chen, Fei

A Markov-Switching multi-fractal inter-trade duration model, with application to U.S. equities / Fei Chen, Francis X. Diebold and Frank Schorfheide - Cambridge NBER 2012 - 62p - NBER Working Paper ; 18078 .

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NBERWP 18078
E7894.pdf

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