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16-028/III - Bayesian Dynamic Modeling of High-Frequency Integer Price Changes


  • Authors
    Istvan Barra, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit, the Netherlands; Agnieszka Borowska, Vrije Universiteit, the Netherlands
  • Publication date
    April 22, 2016
  • Keywords
    Bayesian inference, discrete distributions, high-frequency dynamics, Markov chain Monte Carlo, stochastic volatility
  • JEL
    C22, C58