Hafner, Christian M. (contributor) - 2004 - [Elektronische Ressource]
frequencies such as minute by minute. Typically, however, the econometrician uses
highly aggregated data such as daily or weekly … difficulty in empirical work is that only data of the temporally aggregated series
is available, for which one typically observes … forecasting horizon. This is also the reason why in forecasting volatility one
should use the highest frequency for which data is …