[R-SIG-Finance] why does interpolation in high frequency time series create spurious correlation?

[stefano iacus]

Have a look at Hayashi-Yoshida papers or Malliavin-Mancino paper, or  
google for EPPS effect.
stefano

On 23/mag/09, at 02:24, Michael wrote:

> Hi all,
>
> I am reading some papers on high frequency financial data analysis,  
> by Engle.
>
> Could anybody point me to some more indepth/tutorial treatment (such
> as books), where it talks about why interpolation in high frequency
> time series (resampling irregularly spaced transaction data into
> regularly spaced usual time series) creates spurious correlation? (My
> goal is to study the correlation of two high frequency time series,
> and see if there could be pairs trading opportunities or other trading
> opportunities.)
>
> Thank you!
>
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