NO.PZ2022122601000045
问题如下：
Board member Arnold Brown asks O'Reilly about the use of high-frequency (daily) data in developing capital market expectations. O'Reilly answers, "Sometimes it is necessary to use daily data to obtain a data series of the desired length. High-frequency data are more sensitive to asynchronism across variables and, as a result, tend to produce higher correlation estimates."
With respect to his answer to Brown's question, O'Reilly most likely is:
选项：
A.incorrect, because high-frequency data are less sensitive to asynchronism
B.incorrect, because high-frequency data tend to produce lower correlation estimates
C.correct
解释：
Correct Answer: B
O'Reilly's answer is incorrect with respect to correlation estimates. High-frequency data are more sensitive to asynchronism across variables and, as a result, tend to produce 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。
我是把高频交易看作appraisal data的反面来理解了。
由于appraisal data 会underestimate correlation 所以高频交易会增加correlation，这样理解有什么问题吗？
是因为这道题提到了异步的问题吗？
那么在异步的前提下，appraisal data 是否还是会understate correlation呢？
