25-039/III - Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes

• Authors
  Daan Schoemaker, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam; Anne Opschoor, Vrije Universiteit Amsterdam
• Publication date
  June 26, 2025

• Keywords
  high frequency tick data, polynomial tails, discrete data, Hurwitz zeta function, score-driven dynamics
• JEL
  C22, C46, C58