TY - JOUR
AU - Ait-Sahalia,Yacine
AU - Mykland,Per A.
TI - The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
JF - National Bureau of Economic Research Technical Working Paper Series
VL - No. 276
PY - 2002
Y2 - April 2002
DO - 10.3386/t0276
UR - http://www.nber.org/papers/t0276
L1 - http://www.nber.org/papers/t0276.pdf
N1 - Author contact info:
Yacine Aït-Sahalia
Department of Economics
Bendheim Center for Finance
Princeton University
Princeton, NJ 08540
Tel: 609/258-4015
Fax: 609/258-0719
E-Mail: yacine@princeton.edu
AB - 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.
ER -