Several tests for nonlinear causality are available on the literature. In this paper we investigate the effects of temporal aggregation and systematic sampling using some well known linear and nonlinear Granger causality tests. The conducted Monte Carlo simulation experiments and the empirical...

In this paper we test the effects of temporal aggregation (disaggregation) on the efficiency of portfolio construction using the mean variance optimization approach. Using Monte Carlo techniques and empirical data from the Athens Stocks Exchange we confirm that the use of temporally aggregated...