Taufemback, Cleiton and Da Silva, Sergio (2011): Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data|
|Keywords:||Econophysics; Spectral analysis; Aliasing; Sampling; Financial time series|
|Subjects:||C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data ; Data Access|
|Depositing User:||Sergio Da Silva|
|Date Deposited:||09 Feb 2011 16:25|
|Last Modified:||25 Feb 2017 14:46|
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