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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