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
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Working Papers
2012
- 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 Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2012) View citations (4)
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2012) View citations (5)
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
- A simple IID test for autoregressive conditional duration models
Applied Economics Letters, 2016, 23, (14), 1026-1028
2013
- 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)
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