High-Frequency Statistics with Asynchronous and Irregular Data (Paperback, 1st ed. 2019)

Ole Martin extends well-established techniques for the analysis of high-frequency data based on regular observations to the more general setting of asynchronous and irregular observations. Such methods are much needed in practice as real data usually comes in irregular form. In the theoretical part he develops laws of large numbers and central limit theorems as well as a new bootstrap procedure to assess asymptotic laws. The author then applies the theoretical results to estimate the quadratic covariation and to construct tests for the presence of common jumps. The simulation results show that in finite samples his methods despite the much more complex setting perform comparably well as methods based on regular data. About the Author: Dr. Ole Martin completed his PhD at the Kiel University (CAU), Germany. His research focuses on high-frequency statistics for semimartingales with the aim to develop methods based on irregularly observed data.

General

Imprint:	Springer Spektrum
Country of origin:	Germany
Series:	Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
Release date:	November 2019
First published:	2019
Authors:	Ole Martin
Dimensions:	210 x 148mm (L x W)
Format:	Paperback
Pages:	323
Edition:	1st ed. 2019
ISBN-13:	978-3-658-28417-6
Categories:	Books > Business & Economics > Finance & accounting > General Books > Science & Mathematics > Mathematics > Probability & statistics Promotions
LSN:	3-658-28417-X
Barcode:	9783658284176

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