Chang, Yoosoon; Lu, Ye; Park, Joon Y. - In: Quantitative economics : QE ; journal of the … 16 (2025) 2, pp. 405-457
In this paper, we analyze regressions with observations collected at small time intervals over a long period of time. For the formal asymptotic analysis, we assume that samples are obtained from continuous time stochastic processes, and let the sampling interval δ shrink down to zero and the...