why does interpolation in high frequency time series create spurious correlation?
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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