• Graduate program
  • Research
  • News
  • Events
    • Summer School
      • Climate Change
      • Gender in Society
      • Inequalities in Health and Healthcare
      • Business Data Science Summer School Program
      • Receive updates
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
    • Climate Change
    • Gender in Society
    • Inequalities in Health and Healthcare
    • Business Data Science Summer School Program
    • Receive updates
  • Alumni
  • Magazine

08-011/4 - Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility


  • Author
    Charles S. Bos, VU University Amsterdam
  • Publication date
    January 22, 2008
  • Keywords
    High frequency; integrated variation; intra-day; jump diffusions; microstructure noise; stochastic volatility; exchange rates
  • JEL
    C11; C14; D53; E44