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Risk estimation on high frequency fi...

Jacob, Florian.

Risk estimation on high frequency financial dataempirical analysis of the DAX 30 /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Risk estimation on high frequency financial databy Florian Jacob.
其他題名:	empirical analysis of the DAX 30 /
作者:	Jacob, Florian.
出版者:	Wiesbaden :Springer Fachmedien Wiesbaden :2015.
面頁冊數:	xi, 70 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Stock exchangesGermany.
電子資源:	http://dx.doi.org/10.1007/978-3-658-09389-1
ISBN:	9783658093891 (electronic bk.)

Risk estimation on high frequency financial dataempirical analysis of the DAX 30 /
Jacob, Florian.

Risk estimation on high frequency financial dataempirical analysis of the DAX 30 /[electronic resource] :by Florian Jacob. - Wiesbaden :Springer Fachmedien Wiesbaden :2015. - xi, 70 p. :ill., digital ;24 cm. - BestMasters. - BestMasters..

Multivariate Standard Normal Tempered Stable Distribution -- FIGARCH -- High Frequency Data and Risk Management.

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.

ISBN: 9783658093891 (electronic bk.)

Standard No.: 10.1007/978-3-658-09389-1doiSubjects--Topical Terms:

715997
Stock exchanges
--Germany.

LC Class. No.: HG5492

Dewey Class. No.: 332.6780943

Risk estimation on high frequency financial dataempirical analysis of the DAX 30 /
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