| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481115 | Physica A: Statistical Mechanics and its Applications | 2011 | 7 Pages |
Abstract
⺠We warn that applied econometricians tend to neglect the proper frequency from being considered while sampling the time series data. ⺠This means they disregard the Nyquist-Shannon theorem and are prone to aliasing problems. ⺠We exemplify the problem of aliasing using ultra-high-frequency data and daily prices of four selected stocks listed on the Sao Paulo stock exchange.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Cleiton Taufemback, Sergio Da Silva,