The effects of random and discrete sampling when estimating continuous-time diffusions

被引：67

作者：

Aït-Sahalia, Y ^{[1
]}

Mykland, PA

机构：

[1] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA

[2] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08544 USA

[3] Univ Chicago, Dept Stat, Chicago, IL 60637 USA

来源：

ECONOMETRICA | 2003年 / 71卷 / 02期

关键词：

likelihood; diffusion; discrete sampling; random sampling; cost of discreteness; cost of randomness;

D O I：

10.1111/1468-0262.t01-1-00416

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：483 / 549

页数：67

共 27 条

[1] Nonparametric pricing of interest rate derivative securities
Ait-Sahalia, Y
[J]. ECONOMETRICA, 1996, 64 (03) : 527 - 560
[2] Maximum likelihood estimation of discretely sampled diffusions:: A closed-form approximation approach
Aït-Sahalia, Y
[J]. ECONOMETRICA, 2002, 70 (01) : 223 - 262
[3] [Anonymous], 1996, HDB STAT
[4] BARNDORFFNIELSE.OE, 1989, ASYMPTOTIC TECHNIQUE
[5] BARTLETT MS, 1953, BIOMETRIKA, V40, P12, DOI 10.1093/biomet/40.1-2.12
[6] Billingsley P., 1961, STAT INFERENCE MARKO
[7] PARTIAL LIKELIHOOD
COX, DR
[J]. BIOMETRIKA, 1975, 62 (02) : 269 - 276
[8] Dacunha-Castelle D., 1986, Stochastics, V19, P263, DOI 10.1080/17442508608833428
[9] DUFFIE D, 1997, ESTIMATION CONTINUOU
[10] Autoregressive conditional duration: A new model for irregularly spaced transaction data
Engle, RF
Russell, JR
[J]. ECONOMETRICA, 1998, 66 (05) : 1127 - 1162

← 1 2 3 →