Risk estimation on high frequency financial data [Documento electrónico] / Florian Jacob : empirical analysis of the DAX 30
Language: eng.Country: US - United States of America.Publication: Wiesbaden : Springer Fachmedien Wiesbaden, 2015Description: XI, 70 p. 12 il.ISBN: 978-3-658-09389-1.Series: Best MastersSubject - Topical Name: 6798 | 16087 | 6380Online Resources:Click here to access onlineItem type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode | |
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E-Books | Biblioteca NOVA FCT | Não Ficção | QA273.SPR FCT 96641 (Browse shelf(Opens below)) | 1 | Available |
Colocação: Online
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.
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