High-Frequency Statistics with Asynchronous and Irregular Data

• Main Author: Martin, Ole (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum, 2019.
• Edition: 1st ed. 2019.
• Series: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics,
• Subjects: Probabilities.; Statistics .; Economics, Mathematical .; Probability Theory and Stochastic Processes.; Statistics for Business, Management, Economics, Finance, Insurance.; Quantitative Finance.

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...