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High-Frequency Statistics with Asynchronous and Irregular Data


High-Frequency Statistics with Asynchronous and Irregular Data


Mathematische Optimierung und Wirtschaftsmathematik Mathematical Optimization and Economathematics

von: Ole Martin

67,82 €

Verlag: Spektrum Akademischer Verlag bei Elsevier
Format: PDF
Veröffentl.: 05.11.2019
ISBN/EAN: 9783658284183
Sprache: englisch

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Beschreibungen

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.
Laws of Large Numbers.- Random Observation Schemes.- Bootstrapping Asymptotic Laws.- Testing for (Common) Jumps.
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.
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.ContentsLaws of Large Numbers Random Observation SchemesBootstrapping Asymptotic LawsTesting for (Common) JumpsTarget GroupsScientists and students in the field of mathematical statistics, econometrics and financial mathematicsPractitioners in the field of financial mathematicsAbout 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.
New methods extending theory for regular data

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