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Risk Estimation on High Frequency Financial Data: Empirical Analysis of the Dax 30 2015 Edition
Contributor(s): Jacob, Florian (Author)

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 ISBN: 3658093889     ISBN-13: 9783658093884
Publisher: Springer Spektrum
OUR PRICE: $52.24  

Binding Type: Paperback
Published: April 2015
Qty:

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Additional Information
BISAC Categories:
- Mathematics | Probability & Statistics - General
- Mathematics | Counting & Numeration
- Mathematics | Mathematical Analysis
Dewey: 515
Series: Bestmasters
Physical Information: 0.2" H x 5.83" W x 8.27" L (0.27 lbs) 70 pages
 
Descriptions, Reviews, Etc.
Publisher Description:
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.
 
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