Spectral analysis informs the proper frequency in the sampling of financial time series data

Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices of four selected stocks listed on the Sao Paulo stock exchange.

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Year of publication:	2011
Authors:	Taufemback, Cleiton ; Da Silva, Sergio
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 390.2011, 11, p. 2067-2073
Publisher:	Elsevier
Subject:	Spectral analysis \| Aliasing \| Applied econometrics \| Econophysics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010590579