The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
收藏NBER2002-04-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0276
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2002-04-01
