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Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics

High-Frequency Statistics with Asynchronous and Irregular Data

Authors: Martin, Ole

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  • New methods extending theory for regular data

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eBook $59.99
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  • ISBN 978-3-658-28418-3
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Softcover $79.99
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  • ISBN 978-3-658-28417-6
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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 irregularly observed data.

About the authors

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.

Table of contents (9 chapters)

Table of contents (9 chapters)

Buy this book

eBook $59.99
price for USA in USD (gross)
  • ISBN 978-3-658-28418-3
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $79.99
price for USA in USD
  • ISBN 978-3-658-28417-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
High-Frequency Statistics with Asynchronous and Irregular Data
Authors
Series Title
Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
Copyright
2019
Publisher
Springer Spektrum
Copyright Holder
Springer Fachmedien Wiesbaden GmbH, part of Springer Nature
eBook ISBN
978-3-658-28418-3
DOI
10.1007/978-3-658-28418-3
Softcover ISBN
978-3-658-28417-6
Series ISSN
2523-7926
Edition Number
1
Number of Pages
XIII, 323
Number of Illustrations
34 b/w illustrations
Topics