High-Frequency Statistics with Asynchronous and Irregular Data

Name: High-Frequency Statistics with Asynchronous and Irregular Data
Brand: Springer Fachmedien Wiesbaden
SKU: 9783658284176
Price: 1602 CZK
Availability: InStock

Autor: Ole Martin

Jazyk:

Vazba: Brožovaná

Vydavatel: Springer Fachmedien Wiesbaden

Dostupnost: Skladem u dodavatele

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Ole Martin extends well-established techniques for the analysis of high-frequency data based on regu...

Informace o knize

Autor

Ole Martin

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2019

Stránek

323

EAN

9783658284176

Enbook ID

24971411

Vydavatel

Springer Fachmedien Wiesbaden

Hmotnost

454

Rozměry

148 x 210 x 19

Kompletní popis

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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High-Frequency Statistics with Asynchronous and Irregular Data

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Kompletní popis

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