Springer Spektrum
Risk Estimation on High Frequency Financial Data: Empirical Analysis of the Dax 30
Product Code:
9783658093884
ISBN13:
9783658093884
Condition:
New
$61.47
Risk Estimation on High Frequency Financial Data: Empirical Analysis of the Dax 30
$61.47
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.
| Author: Florian Jacob |
| Publisher: Springer Spektrum |
| Publication Date: Apr 07, 2015 |
| Number of Pages: 70 pages |
| Binding: Paperback or Softback |
| ISBN-10: 3658093889 |
| ISBN-13: 9783658093884 |
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