Skip to main content
SpringerLink
Log in
Book cover

High-Frequency Statistics with Asynchronous and Irregular Data

  • Book
  • © 2019

Overview

Authors:
  1. Ole Martin

    1. Department of Mathematics, Kiel University (CAU), Kiel, Germany

    View author publications

    You can also search for this author in PubMed   Google Scholar

  • New methods extending theory for regular data

  • 3020 Accesses

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 59.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 79.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (9 chapters)

  1. Front Matter

    Pages I-XIII
    Download chapter PDF

  2. Theory

    1. Front Matter

      Pages 1-1
      Download chapter PDF

    2. Framework

      • Ole Martin
      Pages 3-8

    3. Laws of Large Numbers

      • Ole Martin
      Pages 9-71

    4. Central Limit Theorems

      • Ole Martin
      Pages 73-109

    5. Estimating Asymptotic Laws

      • Ole Martin
      Pages 111-135

    6. Observation Schemes

      • Ole Martin
      Pages 137-153

  3. Applications

    1. Front Matter

      Pages 155-155
      Download chapter PDF

    2. Estimating Spot Volatility

      • Ole Martin
      Pages 157-174

    3. Estimating Quadratic Covariation

      • Ole Martin
      Pages 175-205

    4. Testing for the Presence of Jumps

      • Ole Martin
      Pages 207-240

    5. Testing for the Presence of Common Jumps

      • Ole Martin
      Pages 241-303

  4. Back Matter

    Pages 305-323
    Download chapter PDF
Back to top

Keywords

About this book

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 irregularlyobserved data.

Authors and Affiliations

  • Department of Mathematics, Kiel University (CAU), Kiel, Germany

    Ole Martin

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.

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation