Overview
- New methods extending theory for regular data
Part of the book series: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics (MOW)
Access this book
Tax calculation will be finalised at checkout
Other ways to access
Table of contents (9 chapters)
-
Theory
-
Applications
Keywords
- High-frequency statistics
- Asynchronous data
- Irregular data
- Asynchronous observations
- Random observations
- Quadratic covariation
- Test for jumps
- Test for common jumps
- Bootstrap
- Laws of large numbers
- Central limit theorems
- Bootstrapping asymptotic laws
- Random observation schemes
- Estimating quadratic covariation
- Common jumps
- quantitative finance
About this book
​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
About the author
Bibliographic Information
Book Title: High-Frequency Statistics with Asynchronous and Irregular Data
Authors: Ole Martin
Series Title: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
DOI: https://doi.org/10.1007/978-3-658-28418-3
Publisher: Springer Spektrum Wiesbaden
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Fachmedien Wiesbaden GmbH, part of Springer Nature 2019
Softcover ISBN: 978-3-658-28417-6Published: 14 November 2019
eBook ISBN: 978-3-658-28418-3Published: 05 November 2019
Series ISSN: 2523-7926
Series E-ISSN: 2523-7934
Edition Number: 1
Number of Pages: XIII, 323
Number of Illustrations: 34 b/w illustrations
Topics: Probability Theory and Stochastic Processes, Statistics for Business, Management, Economics, Finance, Insurance, Quantitative Finance