Ole Martin

High-Frequency Statistics with Asynchronous and Irregular Data (eBook, PDF)

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: Springer Fachmedien Wiesbaden
• Seitenzahl: 323
• Erscheinungstermin: 5. November 2019
• Englisch
• ISBN-13: 9783658284183
• Artikelnr.: 58090665

Autorenporträt

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.

Inhaltsangabe

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