Articoli correlati a High-Frequency Statistics with Asynchronous and Irregular...

9783658284176: High-Frequency Statistics with Asynchronous and Irregular Data
Brossura
ISBN 10: 365828417X ISBN 13: 9783658284176
Casa editrice: Springer Spektrum, 2019

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Informazioni sull'autore

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.

Dalla quarta di copertina

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.

Contents
  • Laws of Large Numbers 
  • Random Observation Schemes
  • Bootstrapping Asymptotic Laws
  • Testing for (Common) Jumps
Target Groups
  • Scientists andstudents in the field of mathematical statistics, econometrics and financial mathematics
  • Practitioners in the field of financial mathematics
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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer Spektrum
Data di pubblicazione
2019
Lingua
Inglese
ISBN 10 
365828417X
ISBN 13 
9783658284176
Rilegatura
Copertina flessibile
Numero edizione
1
Numero di pagine
340
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