High-Frequency Statistics with Asynchronous and Irregular Data

2019 ed.

by Ole Martin

Book Details

Format Paperback / Softback

Book Series Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics

ISBN-10 365828417X

ISBN-13 9783658284176

Edition 2019 ed.

Publisher Springer Fachmedien Wiesbaden

Imprint Springer Spektrum

Country of Manufacture GB

Country of Publication GB

Publication Date Nov 14th, 2019

Print length 323 Pages

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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.

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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