| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0276 |
| 来源ID | Technical Working Paper 0276 |
| The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions | |
| Yacine Ait-Sahalia; Per A. Mykland | |
| 发表日期 | 2002-04-11 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/t0276 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566489 |
| 推荐引用方式 GB/T 7714 | Yacine Ait-Sahalia,Per A. Mykland. The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0276.pdf（786KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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