Florian Jacob
Risk Estimation on High Frequency Financial Data
Empirical Analysis of the DAX 30
Paperback Engels 2015 9783658093884Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
By studying the ability of the Normal Tempered Stable (NTS) model to fit the
statistical features of intraday data at a 5 min sampling frequency, Florian Jacobs extends the research on high frequency data as well as the appliance of tempered stable models. He examines the DAX30 returns using ARMA-GARCH NTS, ARMA-GARCH MNTS (Multivariate Normal Tempered Stable) and ARMA-FIGARCH (Fractionally Integrated GARCH) NTS. The models will be benchmarked through their goodness of fit and their VaR and AVaR, as well as in an historical Backtesting.
Specificaties
ISBN13:9783658093884
Taal:Engels
Bindwijze:paperback
Aantal pagina's:84
Uitgever:Springer Fachmedien Wiesbaden
Serie:BestMasters
Lezersrecensies
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Inhoudsopgave
Multivariate Standard Normal Tempered Stable Distribution.- FIGARCH.- High Frequency Data and Risk Management.
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