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High-Frequency Statistics with Asynchronous and Irregular Data by Ole Martin

High-Frequency Statistics with Asynchronous and Irregular Data

by Ole Martin
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Book cover type: Paperback
  • ISBN13: 9783658284176
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer Spektrum
  • Publication Date:
  • Pages: 323
  • Original Price: EUR 69.99
  • Language: English
  • Edition: 2019
  • Item Weight: 439 grams
  • BISAC Subject(s): Probability & Statistics / General, Statistics, and Applied

From the Back Cover
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 and students in the field of mathematical statistics, econometrics and financial mathematics
  • Practitioners in the field of financial mathematics
About the AuthorDr. 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.

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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