unscheduled news, is given. Depending on the sampling frequency we estimate that between one and two thirds of the variation in … predictive power of the different components depends on sampling frequencies. …

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We … estimates using our proposed sampling strategy provide smaller root mean-squared error. …

causal inference and systematic sampling of stationary variables preserves the direction of causality. This paper examines … results. Quite contrary to the stationary case, this paper shows that systematic sampling of integrated series may induce … spurious causality. In particular, systematic sampling induces spurious bi-directional Granger causality among the variables if …