Long-Range Dependence and Heavy Tailedness in Modeling Trade Duration Wei Sun Institute for Statistics and Mathematical Economics University of Karlsruhe, Germany * Svetlozar Rachev † Institute for Statistics and Mathematical Economics University of Karlsruhe, Germany & Department of Statistics and Applied Probability University of California, Santa Barbara, USA ‡ Frank J. Fabozzi Yale School of Management, USA Petko S. Kalev Department of Accounting and Finance Monash University, Australia § * W. Sun’s research was supported by grants from the Deutschen Forschungsgemeinschaft. † Address correspondence to Prof. Dr. S. Rachev, Institute for Statistics and Mathematical Economics, Uni-Karlsruhe, Postfach 6980, 76128 Karlsruhe, Germany. Email: rachev@statistik.uni-karlsruhe.de ‡ S. Rachev’s research was supported by grants from Division of Mathematical, Life and Physical Science, College of Letters and Science, University of California, Santa Barbara, and the Deutschen Forschungsgemeinschaft. § P.S. Kalev’s research was supported with a NCG grant from the Faculty of Business and Economics, Monash University. Data are supplied by Securities Industry Research Center of Asia-Pacific (SIRCA) on behalf of Reuters. 1