Read Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30

Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30

florian jacob

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Description: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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30. To get started finding Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30, you are right to find our website which has a comprehensive collection of manuals listed.
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Pages: 70

Format: PDF, EPUB & Kindle Edition

Publisher: Springer Spektrum

Release: 2015

ISBN: 3658093889

Description: 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30. To get started finding Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30

Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30

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