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The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions

Author: Yacine Aït-Sahalia; Per A Mykland
Publisher: Cambridge, Mass. National Bureau of Economic Research 2002.
Series: Technical Working Paper Series (National Bureau of Economic Research), no. t0276.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
High-frequency financial data are not only discretely sampled in time but the time separating successive observations is often random. We analyze the consequences of this dual feature of the data when estimating a continuous-time model. In particular, we measure the additional effects of the randomness of the sampling intervals over and beyond those due to the discreteness of the data. We also examine the effect of  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Yacine Aït-Sahalia; Per A Mykland
OCLC Number: 1027364247
Notes: April 2002.
Description: 1 online resource.
Details: Mode of access: World Wide Web.
Series Title: Technical Working Paper Series (National Bureau of Economic Research), no. t0276.
Responsibility: Yacine Ait-Sahalia, Per A. Mykland.

Abstract:

High-frequency financial data are not only discretely sampled in time but the time separating successive observations is often random. We analyze the consequences of this dual feature of the data when estimating a continuous-time model. In particular, we measure the additional effects of the randomness of the sampling intervals over and beyond those due to the discreteness of the data. We also examine the effect of simply ignoring the sampling randomness. We find that in many situations the randomness of the sampling has a larger impact than the discreteness of the data.

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