Cour, la; Funding, Lisbeth; Milhøj, Anders - Økonomisk Institut, Copenhagen Business School - 2006
We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of...