Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices of four selected stocks listed on the Sao Paulo stock exchange.
- Spectral analysis; Aliasing; Applied econometrics; Econophysics
Available at: http://works.bepress.com/cgtaufemback/2/