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Optimal sampling frequency for high frequency data using a finite mixture model
Institution:1. Department of Statistics, Korea University, Seoul, 136-720, Republic of Korea;2. Laboratory, IBM Korea, 135-750, Republic of Korea;3. Department of Information Statistics and Research Institute of Natural Science of Gangneung-Wonju National University, Gangneung-Wonju National University, Republic of Korea
Abstract:
Keywords:Optimal sampling frequency  Mixture model  Time series  Modified likelihood test  Volatility  AICc
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