Department of Economics and Business Economics

Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Standard

Intraday Stochastic Volatility in Discrete Price Changes : the Dynamic Skellam Model. / Koopman, Simon Johannes Maria; Lit, R.; Lukas, A.

In: Journal of the American Statistical Association, Vol. 112, No. 520, 2017, p. 1490-1503.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Koopman, SJM, Lit, R & Lukas, A 2017, 'Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model', Journal of the American Statistical Association, vol. 112, no. 520, pp. 1490-1503. https://doi.org/10.1080/01621459.2017.1302878

APA

Koopman, S. J. M., Lit, R., & Lukas, A. (2017). Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. Journal of the American Statistical Association, 112(520), 1490-1503. https://doi.org/10.1080/01621459.2017.1302878

CBE

Koopman SJM, Lit R, Lukas A. 2017. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. Journal of the American Statistical Association. 112(520):1490-1503. https://doi.org/10.1080/01621459.2017.1302878

MLA

Vancouver

Koopman SJM, Lit R, Lukas A. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. Journal of the American Statistical Association. 2017;112(520):1490-1503. https://doi.org/10.1080/01621459.2017.1302878

Author

Koopman, Simon Johannes Maria ; Lit, R. ; Lukas, A. / Intraday Stochastic Volatility in Discrete Price Changes : the Dynamic Skellam Model. In: Journal of the American Statistical Association. 2017 ; Vol. 112, No. 520. pp. 1490-1503.

Bibtex

@article{16c4060b400e47308fa3ee4b8f73dc31,
title = "Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model",
author = "Koopman, {Simon Johannes Maria} and R. Lit and A. Lukas",
year = "2017",
doi = "10.1080/01621459.2017.1302878",
language = "English",
volume = "112",
pages = "1490--1503",
journal = "Journal of the American Statistical Association",
issn = "0162-1459",
publisher = "Taylor & Francis ",
number = "520",

}

RIS

TY - JOUR

T1 - Intraday Stochastic Volatility in Discrete Price Changes

T2 - the Dynamic Skellam Model

AU - Koopman, Simon Johannes Maria

AU - Lit, R.

AU - Lukas, A.

PY - 2017

Y1 - 2017

U2 - 10.1080/01621459.2017.1302878

DO - 10.1080/01621459.2017.1302878

M3 - Journal article

VL - 112

SP - 1490

EP - 1503

JO - Journal of the American Statistical Association

JF - Journal of the American Statistical Association

SN - 0162-1459

IS - 520

ER -