High-Frequency Statistics with Asynchronous and Irregular Data. 1st ed. 2019

種類:

電子ブック

責任表示:

by Ole Martin

出版情報:

Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum, 2019

著者名:

• Martin, Ole.
• SpringerLink (Online service)

シリーズ名:

Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics ;

ISBN:

9783658284183 [3658284188]    

注記:

Laws of Large Numbers -- Random Observation Schemes -- Bootstrapping Asymptotic Laws -- Testing for (Common) Jumps.
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. Contents Laws of Large Numbers Random Observation Schemes Bootstrapping Asymptotic Laws Testing for (Common) Jumps Target Groups Scientists and students in the field of mathematical statistics, econometrics and financial mathematics Practitioners in the field of financial mathematics About the Au

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