Risk estimation on high frequency financial data [electronic resource] : empirical analysis of the DAX 30 / Florian Jacob.
2015
HG5492
Linked e-resources
Linked Resource
Online Access
Concurrent users
Unlimited
Authorized users
Authorized users
Document Delivery Supplied
Can lend chapters, not whole ebooks
Details
Title
Risk estimation on high frequency financial data [electronic resource] : empirical analysis of the DAX 30 / Florian Jacob.
Author
Jacob, Florian, author.
ISBN
9783658093891 electronic book
3658093897 electronic book
9783658093884
3658093897 electronic book
9783658093884
Published
Wiesbaden : Springer Spektrum, [2015]
Language
English
Description
1 online resource : illustrations.
Other Standard Identifiers
10.1007/978-3-658-09389-1 doi
Call Number
HG5492
Dewey Decimal Classification
332.6780943
Summary
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.
Bibliography, etc. Note
Includes bibliographical references.
Access Note
Access limited to authorized users.
Series
BestMasters.
Available in Other Form
Print version: 9783658093884
Linked Resources
Online Access
Record Appears in
Online Resources > Ebooks
All Resources
All Resources
Table of Contents
Multivariate Standard Normal Tempered Stable Distribution
FIGARCH
High Frequency Data and Risk Management.
FIGARCH
High Frequency Data and Risk Management.