We study master equations of the form $$(\partial_t+L)^su=f\quad\hbox{ in}~\mathbb{ R}\times\Omega$$ where $L$ is a divergence form elliptic operator and $\Omega\subseteq\mathbb{ R}^n$. These are nonlocal equations of order $2s$ in space and $s$ in time that take into account the values of $u$ everywhere in $\Omega$ and for past times. We show parabolic interior and boundary Harnack inequalities and local parabolic H\"older continuity of solutions. To this end, we prove a characterization of fractional powers of parabolic operators $\partial_t+L$ with a degenerate parabolic extension problem.
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