Question
Suppose you have daily local returns for various global markets. It was shown that more frequent sampling, such as daily rather than monthly data, usually
Suppose you have daily local returns for various global markets. It was shown that more frequent sampling, such as daily rather than monthly data, usually results in more precise risk measures. Why might this not be the case for cross-market correlations?
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Handbook Of The Economics Of Finance
Authors: George M. Constantinides, Milton Harris, Rene M. Stulz
1st Edition
044459406X, 978-0444594068
