Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data

Cleiton Taufemback and Sergio Da Silva

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Econophysics; Spectral analysis; Aliasing; Sampling; Financial time series (search for similar items in EconPapers)
JEL-codes: C81 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-cis, nep-ecm, nep-ets and nep-mst
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Related works:
Journal Article: Spectral analysis informs the proper frequency in the sampling of financial time series data (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:28720

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