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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
High-Frequency Statistics with Asynchronous and Irregular Data

High-Frequency Statistics with Asynchronous and Irregular Data

Martin, Ole

Paperback

Series: Mathematische Optimierung Und Wirtschaftsmathematik Mathematical Optimization and Economathematics

Business GeneralGeneral MathematicsProbability & Statistics

ISBN10: 365828417X
ISBN13: 9783658284176
Publisher: Springer Spektrum
Published: Nov 14 2019
Pages: 323
Weight: 0.90
Height: 0.71 Width: 5.83 Depth: 8.27
Language: English
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.

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