| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9611 |
| 来源ID | Working Paper 9611 |
| How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise | |
| Yacine Ait-Sahalia; Per A. Mykland | |
| 发表日期 | 2003-04-07 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | 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 parameters of a discretely sampled continuous-time model can be finite when the observations are contaminated by market microstructure effects. We then address the question of what to do about the presence of the noise. We show that modelling the noise term explicitly restores the first order statistical effect that sampling as often as possible is optimal. But, more surprisingly, we also demonstrate that this is true even if one misspecifies the assumed distribution of the noise term. Not only is it still optimal to sample as often as possible, but the estimator has the same variance as if the noise distribution had been correctly specified, implying that attempts to incorporate the noise into the analysis cannot do more harm than good. Finally, we study the same questions when the observations are sampled at random time intervals, which are an essential feature of transaction-level data. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w9611 |
| 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/567235 |
| 推荐引用方式 GB/T 7714 | Yacine Ait-Sahalia,Per A. Mykland. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. 2003. |
| 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 | ||
| w9611.pdf（580KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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