Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data
Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices of four selected stocks listed on the Sao Paulo stock exchange.
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- Yacine Aït-Sahalia, 2005.
"How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise,"
Review of Financial Studies,
Society for Financial Studies, vol. 18(2), pages 351-416.
- Yacine Ait-Sahalia & Per A. Mykland, 2003. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," NBER Working Papers 9611, National Bureau of Economic Research, Inc.
- Giampaoli, Iacopo & Ng, Wing Lon & Constantinou, Nick, 2009. "Analysis of ultra-high-frequency financial data using advanced Fourier transforms," Finance Research Letters, Elsevier, vol. 6(1), pages 47-53, March. Full references (including those not matched with items on IDEAS)
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