How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
收藏NBER2003-04-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w9611
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资源简介：
Classical statistics suggest that for inference purposes one should always use as much data as is available. We study how the presence of market microstructure noise in high-frequency financial data can change that result. We show that the optimal sampling frequency at which to estimate the
提供机构：
美国国家经济研究局
创建时间：
2003-04-01
