NO.PZ2022122601000045
问题如下：
Board member Arnold Brown asks O'Reilly about the use ofhigh-frequency (daily) data in developing capital market expectations. O'Reillyanswers, "Sometimes it is necessary to use daily data to obtain a data seriesof the desired length. High-frequency data are more sensitive to asynchronismacross variables and, as a result, tend to produce higher correlation estimates."
With respect tohis answer to Brown's question, O'Reilly most likely is:
选项：
A.incorrect, because high-frequency data are lesssensitive to asynchronism
B.incorrect, because high-frequency data tend to producelower correlation estimates
C.correct
解释：
Correct Answer: B
O'Reilly's answeris incorrect with respect to correlation estimates. High-frequency data aremore sensitive to asynchronism across variables and, as a result, tend toproduce lower correlation estimates.
中文解析：
就相关性估计而言，O'Reilly的答案是不正确的。高频数据对变量间的异步更敏感，因此往往产生较低的相关性估计。
老师，我知道异步性会使得correlation降低，但是我还有个疑问，就是原本数据少的时候就容易导致correlation被低估，而high-frequency书上又说可以"improve the precision of sample variances, covariance and correlations", 那如果还是低估相关性的话，高频数据对于相关性估计的改进到底改进在哪里呢？
