High-Frequency Statistics with Asynchronous and Irregular Data

1. Auflage 2019
ISBN: 978-3-658-28417-6
Verlag: Springer

Buch, Englisch, 323 Seiten, Format (B × H): 148 mm x 210 mm, Gewicht: 441 g

Reihe: Research

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.

Zielgruppe

Research

Autoren/Hrsg.

Martin, Ole

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse

Inhaltsverzeichnis

Laws of Large Numbers.- Random Observation Schemes.- Bootstrapping Asymptotic Laws.- Testing for (Common) Jumps.

Über Autor(innen)

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.