High-frequency statistics with asynchronous and irregular data:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Wiesbaden, Germany
Springer Spektrum
[2019]
|
| Schriftenreihe: | Mathematische Optimierung und Wirtschaftsmathematik | Mathematical optimization and economathematics
Research |
| Schlagworte: | |
| Online-Zugang: | Inhaltstext http://www.springer.com/ Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | XIII, 323 Seiten Illustrationen 21 cm, 445 g |
| ISBN: | 9783658284176 365828417X |
Internformat
MARC
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| 100 | 1 | |a Martin, Ole |e Verfasser |0 (DE-588)1194260632 |4 aut | |
| 245 | 1 | 0 | |a High-frequency statistics with asynchronous and irregular data |c Ole Martin |
| 264 | 1 | |a Wiesbaden, Germany |b Springer Spektrum |c [2019] | |
| 300 | |a XIII, 323 Seiten |b Illustrationen |c 21 cm, 445 g | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Mathematische Optimierung und Wirtschaftsmathematik | Mathematical optimization and economathematics | |
| 490 | 0 | |a Research | |
| 502 | |b Dissertation |c Kiel University (CAU) |d 2018 | ||
| 653 | |a Asynchronous data | ||
| 653 | |a Asynchronous observations | ||
| 653 | |a Bootstrap | ||
| 653 | |a Bootstrapping asymptotic laws | ||
| 653 | |a Central limit theorems | ||
| 653 | |a Common jumps | ||
| 653 | |a Estimating quadratic covariation | ||
| 653 | |a High-frequency statistics | ||
| 653 | |a Irregular data | ||
| 653 | |a Laws of large numbers | ||
| 653 | |a Quadratic covariation | ||
| 653 | |a Random observation schemes | ||
| 653 | |a Random observations | ||
| 653 | |a Test for common jumps | ||
| 653 | |a Test for jumps | ||
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
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Datensatz im Suchindex
| _version_ | 1804181004711100416 |
|---|---|
| adam_text | CONTENTS
I
THEORY
.......................................................................................
1
1
FRAMEWORK
............................................................................................................
3
2
LAWS
OF
LARGE
NUMBERS
....................................................................................
9
2.1
NON-NORMALIZED
FUNCTIONALS
...............................................................
10
2.1.1
THE
RESULTS
..............................................................................
11
2.1.2
THE
PROOFS
..............................................................................
18
2.2
NORMALIZED
FUNCTIONALS
.....................................................................
27
2.2.1
THE
RESULTS
..............................................................................
30
2.2.2
THE
PROOFS
..............................................................................
37
2.3
FUNCTIONALS
OF
TRUNCATED
INCREMENTS
................................................
55
2.3.1
THE
RESULTS
..............................................................................
56
2.3.2
THE
PROOFS
..............................................................................
61
2.4
FUNCTIONALS
OF
INCREMENTS
OVER
MULTIPLE
OBSERVATION
INTERVALS
...
67
2.4.1
THE
RESULTS
..............................................................................
69
2.4.2
THE
PROOFS
..............................................................................
71
3
CENTRAL
LIMIT
THEOREMS
........................................................................................
73
3.1
CENTRAL
LIMIT
THEOREM
FOR
NON-NORMALIZED
FUNCTIONALS
...............
74
3.1.1
THE
RESULTS
..............................................................................
79
3.1.2
THE
PROOFS
..............................................................................
85
3.2
CENTRAL
LIMIT
THEOREM
FOR
NORMALIZED
FUNCTIONALS
...........................
102
4
ESTIMATING
ASYMPTOTIC
LAWS
.............................................................................
ILL
4.1
THE
RESULTS
..............................................................................................
112
4.2
THE
PROOFS
..............................................................................................
120
5
OBSERVATION
SCHEMES
..........................................................................................
137
5.1
THE
RESULTS
..............................................................................................
138
5.2
THE
PROOFS
..............................................................................................
143
X
CONTENTS
II
APPLICATIONS
.................................................................................
155
6
ESTIMATING
SPOT
VOLATILITY
...................................................................................
157
6.1
THE
RESULTS
.............................................................................................
159
6.2
THE
PROOFS
.............................................................................................
162
7
ESTIMATING
QUADRATIC
COVARIATION
......................................................................
175
7.1
CONSISTENCY
RESULTS
..............................................................................
176
7.2
CENTRAL
LIMIT
THEOREMS
........................................................................
178
7.3
CONSTRUCTING
ASYMPTOTIC
CONFIDENCE
INTERVALS
....................................
186
7.4
THE
PROOFS
.............................................................................................
192
8
TESTING
FOR
THE
PRESENCE
OF
JUMPS
..................................................................
207
8.1
THEORETICAL
RESULTS
.................................................................................
208
8.2
SIMULATION
RESULTS
.................................................................................
220
8.3
THE
PROOFS
.............................................................................................
228
9
TESTING
FOR
THE
PRESENCE
OF
COMMON
JUMPS
..................................................
241
9.1
NULL
HYPOTHESIS
OF
DISJOINT
JUMPS
........................................................
242
9.1.1
THEORETICAL
RESULTS
.....................................................................
242
9.1.2
SIMULATION
RESULTS
.....................................................................
253
9.1.3
THE
PROOFS
.................................................................................
257
9.2
NULL
HYPOTHESIS
OF
JOINT
JUMPS
..............................................................
267
9.2.1
THEORETICAL
RESULTS
.....................................................................
267
9.2.2
SIMULATION
RESULTS
.....................................................................
279
9.2.3
THE
PROOFS
.................................................................................
287
BIBLIOGRAPHY
.................................................................................................................
305
APPENDIX
.........................................................................................
309
A
ESTIMATES
FOR
LTD
SEMIMARTINGALES
..................................................................
311
B
STABLE
CONVERGENCE
IN
LAW
...............................................................................
315
C
TRIANGULAR
ARRAYS
.................................................................................................
321
|
| any_adam_object | 1 |
| author | Martin, Ole |
| author_GND | (DE-588)1194260632 |
| author_facet | Martin, Ole |
| author_role | aut |
| author_sort | Martin, Ole |
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| building | Verbundindex |
| bvnumber | BV046443937 |
| ctrlnum | (OCoLC)1140664599 (DE-599)DNB1196891788 |
| discipline | Mathematik |
| format | Thesis Book |
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| indexdate | 2024-07-10T08:44:46Z |
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| institution_GND | (DE-588)1043386068 |
| isbn | 9783658284176 365828417X |
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| physical | XIII, 323 Seiten Illustrationen 21 cm, 445 g |
| publishDate | 2019 |
| publishDateSearch | 2019 |
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| publisher | Springer Spektrum |
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| series2 | Mathematische Optimierung und Wirtschaftsmathematik | Mathematical optimization and economathematics Research |
| spelling | Martin, Ole Verfasser (DE-588)1194260632 aut High-frequency statistics with asynchronous and irregular data Ole Martin Wiesbaden, Germany Springer Spektrum [2019] XIII, 323 Seiten Illustrationen 21 cm, 445 g txt rdacontent n rdamedia nc rdacarrier Mathematische Optimierung und Wirtschaftsmathematik | Mathematical optimization and economathematics Research Dissertation Kiel University (CAU) 2018 Asynchronous data Asynchronous observations Bootstrap Bootstrapping asymptotic laws Central limit theorems Common jumps Estimating quadratic covariation High-frequency statistics Irregular data Laws of large numbers Quadratic covariation Random observation schemes Random observations Test for common jumps Test for jumps (DE-588)4113937-9 Hochschulschrift gnd-content Springer Fachmedien Wiesbaden (DE-588)1043386068 pbl Erscheint auch als Online-Ausgabe 9783658284183 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=bde61cbb0a5542309fd0f35cfffd01e9&prov=M&dok_var=1&dok_ext=htm Inhaltstext X:MVB http://www.springer.com/ B:DE-101 application/pdf https://d-nb.info/1196891788/04 Inhaltsverzeichnis DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031855948&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Martin, Ole High-frequency statistics with asynchronous and irregular data |
| subject_GND | (DE-588)4113937-9 |
| title | High-frequency statistics with asynchronous and irregular data |
| title_auth | High-frequency statistics with asynchronous and irregular data |
| title_exact_search | High-frequency statistics with asynchronous and irregular data |
| title_full | High-frequency statistics with asynchronous and irregular data Ole Martin |
| title_fullStr | High-frequency statistics with asynchronous and irregular data Ole Martin |
| title_full_unstemmed | High-frequency statistics with asynchronous and irregular data Ole Martin |
| title_short | High-frequency statistics with asynchronous and irregular data |
| title_sort | high frequency statistics with asynchronous and irregular data |
| topic_facet | Hochschulschrift |
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