@techreport{9d78c03b28034a9bb239ac301762f30f,
title = "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility",
abstract = "When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing simultaneously for microstructure effects, jumps, missing observations and stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non-parametric counterparts. Both with simulated and actual exchange rate data, the feasibility of this novel approach is shown. The parametric setting is used to estimate the intra-day trend in the Euro/U.S. Dollar exchange rate.",
author = "Bos, {Charles S.}",
year = "2008",
language = "English",
series = "Discussion paper TI",
publisher = "Tinbergen Instituut",
number = "08-011/4",
type = "WorkingPaper",
institution = "Tinbergen Instituut",
}