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

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:
Aït-Sahalia t0222 Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach
Hansen and Scheinkman t0141 Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
Lo t0059 Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
Aït-Sahalia and Kimmel w10579 Maximum Likelihood Estimation of Stochastic Volatility Models
Mishkin w16609 Over The Cliff: From the Subprime to the Global Financial Crisis
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

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

Contact Us