NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Yacine Ait-Sahalia, Per A. Mykland

NBER Technical Working Paper No. 276
Issued in April 2002
NBER Program(s):   TWP

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 randomness of the sampling intervals over and beyond those due to the discreteness of the data. We also examine the effect of simply ignoring the sampling randomness. We find that in many situations the randomness of the sampling has a larger impact than the discreteness of the data.

download in pdf format
   (787 K)

email paper

This paper is available as PDF (787 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/t0276

Published: "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions", Econometrica, Vol. 71, pp. 483-549 (2003)

Users who downloaded this paper also downloaded these:
Hansen and Scheinkman t0141 Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
Aït-Sahalia t0222 Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach
Lo t0059 Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us