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- W2213255984 abstract "The development of transactional platforms, has enabled the study of ever larger financial markets from the intraday perspective. However, we found a problem of high frequency data: the accumulation of microeconomic-noise. The following document develops, based on the methodology of Bandi and Russell 2002 and Barndorff- Nielsen and Shephard 2002, a theoretical and practical framework for tackling the problems of microeconomic noise in the estimation of diary volatility in the market for USP / COP. The conclusions of the paper point to an optimal intraday sampling spacing for 10 minutes." @default.
- W2213255984 created "2016-06-24" @default.
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- W2213255984 date "2008-01-01" @default.
- W2213255984 modified "2023-09-23" @default.
- W2213255984 title "What is the Optimal Sampling Frequency of Intraday Market Usd/Cop? (¿Cuál Es La Frecuencia De Muestreo Óptima En El Mercado Intradiario Del Usd/Cop?)" @default.
- W2213255984 hasPublicationYear "2008" @default.
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