[R-SIG-Finance] why does interpolation in high frequency time series create spurious correlation?
stefano.iacus at unimi.it
Sun May 24 22:08:30 CEST 2009
Have a look at Hayashi-Yoshida papers or Malliavin-Mancino paper, or
google for EPPS effect.
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
> Thank you!
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