15-076/IV - Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

• Authors
  Siem Jan Koopman, VU University Amsterdam; Rutger Lit, VU University Amsterdam; Andre Lucas, VU University Amsterdam
• Publication date
  July 1, 2015

• Keywords
  non-Gaussian time series models; volatility models; importance sampling; numerical integration; high-frequency data; discrete price changes.
• JEL
  C22, C32, C58