Spectral analysis informs the proper frequency in the sampling of financial time series data

Cleiton Taufemback and Sergio Da Silva

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 11, 2067-2073

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: Spectral analysis; Aliasing; Applied econometrics; Econophysics (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437111001245
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
Working Paper: Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:11:p:2067-2073

DOI: 10.1016/j.physa.2011.02.016

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().