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

Research output: Working paper / Preprint › Working paper › Professional

Name	TI Discussion Paper
No.	15-076/IV/DSF94

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@techreport{0105a86119a54f5ab46e88caa015a657,

title = "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model",

author = "S.J. Koopman and R. Lit and A. Lucas",

year = "2015",

language = "English",

series = "TI Discussion Paper",

publisher = "Tinbergen Institute",

number = "15-076/IV/DSF94",

type = "WorkingPaper",

institution = "Tinbergen Institute",

}