High-Frequency Statistics with Asynchronous and Irregular Data

Language: English

Published by Springer Spektrum, 2019

365828417X / 9783658284176

Series: Book 3 of 5 - Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Druck auf Anfrage Neuware - Printed after ordering - 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.…

Seller Inventory # 9783658284176

Title
High-Frequency Statistics with Asynchronous and Irregular Data
Author
Ole Martin
Publisher
Springer Spektrum
Publication year
2019
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
365828417X
ISBN 13
9783658284176
Item weight
441 grams
Dimensions
210x148x19 mm
Series
Book 3 of 5: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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