TY  - GEN
AB  - 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. Contents Multivariate Standard Normal Tempered Stable Distribution FIGARCH High Frequency Data and Risk Management Target Groups Researchers and students in the field of finance Practitioners in this area The Author Florian Jacob obtained his Master?s Degree in Business Engineering from the Karlsruhe Institute of Technology focusing on the application of tempered stable distributions on financial data and financial engineering.
AU  - Jacob, Florian,
CN  - HG5492
DO  - 10.1007/978-3-658-09389-1
DO  - doi
ID  - 726321
KW  - Stock exchanges
KW  - Electronic trading of securities.
KW  - Investments
KW  - Investment analysis.
LK  - https://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-658-09389-1
N2  - 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. Contents Multivariate Standard Normal Tempered Stable Distribution FIGARCH High Frequency Data and Risk Management Target Groups Researchers and students in the field of finance Practitioners in this area The Author Florian Jacob obtained his Master?s Degree in Business Engineering from the Karlsruhe Institute of Technology focusing on the application of tempered stable distributions on financial data and financial engineering.
SN  - 9783658093891
SN  - 3658093897
T1  - Risk estimation on high frequency financial dataempirical analysis of the DAX 30 /
TI  - Risk estimation on high frequency financial dataempirical analysis of the DAX 30 /
UR  - https://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-658-09389-1
ER  -