High Frequency Statistics with Asynchronous and Irregular Data is popular PDF and ePub book, written by Ole Martin in 2019-11-05, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, High Frequency Statistics with Asynchronous and Irregular Data can be Read Online from any device for your convenience.
High Frequency Statistics with Asynchronous and Irregular Data Book PDF Summary
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.
Detail Book of High Frequency Statistics with Asynchronous and Irregular Data PDF
- Author : Ole Martin
- Release : 05 November 2019
- Publisher : Springer Nature
- ISBN : 9783658284183
- Genre : Mathematics
- Total Page : 323 pages
- Language : English
- PDF File Size : 14,7 Mb
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