| 书目名称 | High-Frequency Statistics with Asynchronous and Irregular Data |
| 编辑 | Ole Martin |
| 视频video | |
| 概述 | New methods extending theory for regular data |
| 丛书名称 | Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics |
| 图书封面 |  |
| 描述 | 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.. |
| 出版日期 | Book 2019 |
| 关键词 | High-frequency statistics; Asynchronous data; Irregular data; Asynchronous observations; Random observat |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-658-28418-3 |
| isbn_softcover | 978-3-658-28417-6 |
| isbn_ebook | 978-3-658-28418-3Series ISSN 2523-7926 Series E-ISSN 2523-7934 |
| issn_series | 2523-7926 |
| copyright | Springer Fachmedien Wiesbaden GmbH, part of Springer Nature 2019 |
发表于 2025-3-21 16:35:40
