High-Frequency Statistics with Asynchronous and Irregular Data
1st Edition
Published on 5. November 2019
XIII, 323 pages
978-3-658-28418-3 (ISBN)
Description
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:
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.
More details
Series
Language
English
Place of publication
Wiesbaden
Germany
Publishing group
Springer Fachmedien Wiesbaden GmbH
Target group
Professional and scholarly
Illustrations
XIII, 323 p. 34 illus.
File size
4,88 MB
ISBN-13
978-3-658-28418-3 (9783658284183)
DOI
10.1007/978-3-658-28418-3
Schweitzer Classification
Other editions
Additional editions
Book
11/2019
Springer Spektrum
€74.89
Shipment within 10-15 days
Person
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.
Content
Laws of Large Numbers.- Random Observation Schemes.- Bootstrapping Asymptotic Laws.- Testing for (Common) Jumps.
