Risk Estimation on High Frequency Financial Data

Empirical Analysis of the DAX 30

von Florian Jacob

70 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

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.

• Reihe: BestMasters
• Themen: Mathematik und Naturwissenschaften Mathematik Wahrscheinlichkeitsrechnung und Statistik
• ISBN: 9783658093884
• Sprache: Englisch
• Erscheinungsdatum: 07.04.2015
• Größe: 21 x 14.8 cm
• Verlag: Springer Fachmedien Wiesbaden GmbH