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High-Frequency Statistics with Asynchronous and Irregular Data

Jezik EngleskiEngleski
Knjiga Meki uvez
Knjiga High-Frequency Statistics with Asynchronous and Irregular Data Ole Martin
Libristo kod: 24971411
Nakladnici Springer Fachmedien Wiesbaden, studeni 2019
Ole Martin extends well-established techniques for the analysis of high-frequency data based on regu... Cijeli opis
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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.

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Informacije o knjizi

Puni naziv High-Frequency Statistics with Asynchronous and Irregular Data
Autor Ole Martin
Jezik Engleski
Uvez Knjiga - Meki uvez
Datum izdanja 2019
Broj stranica 323
EAN 9783658284176
Libristo kod 24971411
Težina 454
Dimenzije 148 x 210 x 19
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