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