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The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions

Aït-Sahalia, Yacine; Mykland, Per A. - 2021

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...

Persistent link: https://www.econbiz.de/10013210694