How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
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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
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美国国家经济研究局创建时间：
2003-04-01
