Quote[at Ultra High Frequency]Actually I was interested not only in UHF part.QuoteRemoval of bid-ask bounce and other microstructure effects.Some time ago I came across a paper about data preparation by applying Hodrick-Prescott filter but I am looking for alternatives to have a broader scope.

Marine,Thank you very much for sharing information.QuoteOriginally posted by:MarineI agree with you about preparing data.Would you be able to make a suggestion what sort of data preparation would be suitable for cointegration models?Best Regards