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Risk Estimation On High Frequency Financial Data Empirical Analysis Of The Dax 30 1st Edition Florian Jacob Auth

  • SKU: BELL-5056144
Risk Estimation On High Frequency Financial Data Empirical Analysis Of The Dax 30 1st Edition Florian Jacob Auth
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Risk Estimation On High Frequency Financial Data Empirical Analysis Of The Dax 30 1st Edition Florian Jacob Auth instant download after payment.

Publisher: Springer Spektrum
File Extension: PDF
File size: 1.38 MB
Pages: 70
Author: Florian Jacob (auth.)
ISBN: 9783658093884, 3658093889
Language: English
Year: 2015
Edition: 1

Product desciption

Risk Estimation On High Frequency Financial Data Empirical Analysis Of The Dax 30 1st Edition Florian Jacob Auth by Florian Jacob (auth.) 9783658093884, 3658093889 instant download after payment.

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.

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