Titlebook: High-Frequency Statistics with Asynchronous and Irregular Data; Ole Martin Book 2019 Springer Fachmedien Wiesbaden GmbH, part of Springer

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Observation Schemestotics and check whether they full the assumptions made in Chapters 2–4. I chose to collect these results in a separate chapter instead of including them in Chapters 2–4 firstly because it turns out that their proofs are rather technical and require specific arguments unrelated to the arguments in the previous chapters.

Plaque

https://doi.org/10.1007/978-3-658-28418-3High-frequency statistics; Asynchronous data; Irregular data; Asynchronous observations; Random observat

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粘连

Unsaturated-Fat

FrameworkIn this chapter, we specify the mathematical framework within we will derive theoretical results and develop statistical procedures.

Bumble

CRACY

Central Limit TheoremsIn this chapter, we will discuss central limit theorems for some of the functionals introduced in Chapter 2. Further we develop general techniques that will later in Chapters 7–9 be applied to find central limit theorems also for other more specific statistics which are based on functionals from Chapter 2.

夜晚

过度

Estimating Spot VolatilityOur goal in this chapter is to estimate the . σ. , σ. at some specific time s ∈ [0; T]. In addition to that we would like to estimate the . ρ. between the two Gaussian processes C. and C.. If we allow σ to be discontinuous we are additionally interested in estimating the left limits σ. , σ. ,ρ..

Spinal-Tap

Estimating Quadratic CovariationHistorically the integrated volatility or realized volatility of the process X..