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High-Frequency Statistics with Asynchronous and Irregular Data. 非同期・不規則データを伴う高頻度統計学
・ISBN 978-3-658-28417-6 paper EUR 69.99
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| 著者・編者 | Martin, Ole, |
|---|---|
| シリーズ | Mathematische Optimierung und Wirtschaftsmathematik / Mathematical Optimization and Economathematics |
| 出版社 | (Springer Spektrum, GW) |
| 出版年月 | 2019 |
| ページ数 | 323 pp. |
| 言語 | ENG |
| ニュース番号 | ＜655-227 655-P902＞ |
解説
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:
?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.