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