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15-076/IV - Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

  • Authors
    Siem Jan Koopman, VU University Amsterdam; Rutger Lit, VU University Amsterdam; Andre Lucas, VU University Amsterdam
  • Publication date
    July 1, 2015
  • Keywords
    non-Gaussian time series models; volatility models; importance sampling; numerical integration; high-frequency data; discrete price changes.
  • JEL
    C22, C32, C58