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

Author

Listed:
  • Yacine Ait--Sahalia

    (Princeton University, Princeton, U.S.A., and N.B.E.R)

  • Per A. Mykland

    (The University of Chicago, Chicago, IL, U.S.A.)

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. Copyright The Econometric Society 2003.

Suggested Citation

  • Yacine Ait--Sahalia & Per A. Mykland, 2003. "The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions," Econometrica, Econometric Society, vol. 71(2), pages 483-549, March.
    • Handle: RePEc:ecm:emetrp:v:71:y:2003:i:2:p:483-549
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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