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Anglický jazyk
Risk Estimation on High Frequency Financial Data
Autor: Florian Jacob
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...
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O knihe
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.
- Vydavateľstvo: Springer Gabler
- Rok vydania: 2015
- Formát: Paperback
- Rozmer: 210 x 148 mm
- Jazyk: Anglický jazyk
- ISBN: 9783658093884
