Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages38
Publication statusPublished - 2015

Publication series

NameTI Discussion Paper
No.15-076/IV/DSF94

Cite this

Koopman, S. J., Lit, R., & Lucas, A. (2015). Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. (TI Discussion Paper; No. 15-076/IV/DSF94). Amsterdam: Tinbergen Institute.
Koopman, S.J. ; Lit, R. ; Lucas, A. / Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. Amsterdam : Tinbergen Institute, 2015. (TI Discussion Paper; 15-076/IV/DSF94).
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Koopman, SJ, Lit, R & Lucas, A 2015 'Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model' TI Discussion Paper, no. 15-076/IV/DSF94, Tinbergen Institute, Amsterdam.

Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. / Koopman, S.J.; Lit, R.; Lucas, A.

Amsterdam : Tinbergen Institute, 2015. (TI Discussion Paper; No. 15-076/IV/DSF94).

Research output: Working paperProfessional

TY - UNPB

T1 - Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

AU - Koopman, S.J.

AU - Lit, R.

AU - Lucas, A.

PY - 2015

Y1 - 2015

M3 - Working paper

T3 - TI Discussion Paper

BT - Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

PB - Tinbergen Institute

CY - Amsterdam

ER -

Koopman SJ, Lit R, Lucas A. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. Amsterdam: Tinbergen Institute. 2015. (TI Discussion Paper; 15-076/IV/DSF94).