Details about Fei Chen

Access statistics for papers by Fei Chen.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pch2026

Working Papers

2012

1. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2012) View citations (5)
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2012) View citations (4)
   See also Journal Article A Markov-switching multifractal inter-trade duration model, with application to US equities, Journal of Econometrics, Elsevier (2013) View citations (31) (2013)

Journal Articles

2016

1. A simple IID test for autoregressive conditional duration models
   Applied Economics Letters, 2016, 23, (14), 1026-1028

2013

2. A Markov-switching multifractal inter-trade duration model, with application to US equities
   Journal of Econometrics, 2013, 177, (2), 320-342 View citations (31)
   See also Working Paper A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities, NBER Working Papers (2012) View citations (5) (2012)