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.
| ISBN: | 9783658093884 |
| Publication date: | 7th April 2015 |
| Author: | Florian Jacob |
| Publisher: | Springer Spektrum an imprint of Springer Fachmedien Wiesbaden |
| Format: | Paperback |
| Pagination: | 70 pages |
| Series: | BestMasters |
| Genres: |
Probability and statistics Stochastics Numerical analysis Calculus and mathematical analysis |
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.
Risk Estimation on High Frequency Financial Data features in the following genres: Probability and statistics, Stochastics, Numerical analysis, Calculus and mathematical analysis
Paperback. Not Available.
Risk Estimation on High Frequency Financial Data was written by Florian Jacob and published by Springer Spektrum an imprint of Springer Fachmedien Wiesbaden
Risk Estimation on High Frequency Financial Data has 70 pages
Yes it is part of BestMasters series