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High-Frequency Statistics with Asynchronous and Irregular Data

High-Frequency Statistics with Asynchronous and Irregular Data

von Ole Martin
Softcover - 9783658284176
74,89 €
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Beschreibung

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 irregularlyobserved data.

Details

Verlag Springer Fachmedien Wiesbaden GmbH
Ersterscheinung 14. November 2019
Maße 21 cm x 14.8 cm
Gewicht 441 Gramm
Format Softcover
ISBN-13 9783658284176
Auflage 1st ed. 2019
Seiten 323