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

Yacine Ait-Sahalia and Per A. Mykland

No 276, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: C32 G12 (search for similar items in EconPapers)
Date: 2002-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published as "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions", Econometrica, Vol. 71, pp. 483-549 (2003)

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Journal Article: The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions (2003)
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