differences relate to observation frequency and the choice of market index. Aggregate numbers have been shown to be (marginally … to a larger extent that if the results are highly sensitive to e.g. a change in observation frequency. We apply firm … altering methodology in terms of observation frequency and choice of market index. The results put a question mark to the …

It is generally believed that for the power of unit root tests, only the time span and not the observation frequency … matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and … features (and hence the power gains) increases with the observation frequency. This is illustrated using both Monte Carlo …

It is generally believed that for the power of unit root tests, only the time span and not the observation frequency … matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and … features (and hence the power gains) increases with the observation frequency. This is illustrated using both Monte Carlo …

It is generally believed that for the power of unit root tests, only the time span and not the observation frequency … matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and … features (and hence the power gains) increases with the observation frequency. This is illustrated using both Monte Carlo …

It is generally believed that for the power of unit root tests, only the time span and not the observation frequency … matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and … features (and hence the power gains) increases with the observation frequency. This is illustrated using both Monte Carlo …