Book Details
Format
Paperback / Softback
Book Series
Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
ISBN-10
365828417X
ISBN-13
9783658284176
Edition
2019 ed.
Publisher
Springer Fachmedien Wiesbaden
Imprint
Springer Spektrum
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Nov 14th, 2019
Print length
323 Pages
Product Classification:
Economics, finance, business & managementProbability & statisticsApplied mathematicsStochastics
Ksh 8,100.00
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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.
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.
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.
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