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A Markov-Switching Multifractal Inter-Trade Duration Model, with Application to US Equities
Chen, Fei, Diebold, Francis X., Schorfheide, FrankYear:
2013
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2316241
File:
PDF, 1.10 MB
english, 2013