This article gives a nice outline of how daily data can be used to estimate cointegration on a monthly horizon.
I'd like to use the same method to use hourly data to estimate mean reversion on a horizon of a few days.
The scaling seems to be the same one month=approx 22 working days and, one day =24 hours.
I spoke to the author and he seemed to think that using hourly data to estimate the daily dynamics would not work but didn't explain why.
Q1.) I respect the author so I assume he's correct, but I'd still like to understand why you can't use the hourly data to estimate daily dynamics?
Q2.) Assuming he is is correct is there any way I can estimate cointegrating relationships that occurs over the period of days from higher frequency data?