Dear Prof. Pfeifier,
May I kindly ask if you know of any books or other resources that discusses conversion of model parameters from annual to quarterly frequency and vice versa. In this thread, I don’t quite understand why we want to spread quarterly investment over the entire year when converting a quarterly investment adjustment cost parameter to annual frequency. What about investment in the other quarters of the year?
With \delta, for example, we have \delta = 0.1 for annual frequency model and \delta = 0.025 for quarterly frequency model. Meaning we multiply \delta by 4 when converting from quarterly to annual frequency.
Is it that each parameter has its own specific procedure when converting it from one frequency to the other? On \beta, why people use \beta=0.9901 for quarterly frequency model and \beta = 0.9605 for annual frequency model? Not sure how the conversion is done.
Would be glad if you know of any resources that discusses these. Many thanks!!