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High-Frequency Statistics with Asynchronous and Irregular Data
Engelsk Paperback
High-Frequency Statistics with Asynchronous and Irregular Data
Engelsk Paperback

621 kr
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Om denne bog
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.

Product detaljer
Sprog:
Engelsk
Sider:
323
ISBN-13:
9783658284176
Indbinding:
Paperback
Udgave:
ISBN-10:
365828417X
Kategori:
Udg. Dato:
14 nov 2019
Længde:
0mm
Bredde:
148mm
Højde:
210mm
Forlag:
Springer Fachmedien Wiesbaden
Oplagsdato:
14 nov 2019
Forfatter(e):
Kategori sammenhænge