Risk Estimation on High Frequency Financial Data
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-GA...
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| Ngôn ngữ: | English |
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Springer
2015
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| Truy cập trực tuyến: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/58091 |
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oai:scholar.dlu.edu.vn:DLU123456789-580912023-11-11T05:59:36Z Risk Estimation on High Frequency Financial Data Jacob, Florian Stock exchanges Germany Investments Mathematical models 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. 2015-09-08T09:20:53Z 2015-09-08T09:20:53Z 2015 Book 978-3-658-09389-1 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/58091 en application/pdf Springer |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| topic |
Stock exchanges Germany Investments Mathematical models |
| spellingShingle |
Stock exchanges Germany Investments Mathematical models Jacob, Florian Risk Estimation on High Frequency Financial Data |
| 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. |
| format |
Book |
| author |
Jacob, Florian |
| author_facet |
Jacob, Florian |
| author_sort |
Jacob, Florian |
| title |
Risk Estimation on High Frequency Financial Data |
| title_short |
Risk Estimation on High Frequency Financial Data |
| title_full |
Risk Estimation on High Frequency Financial Data |
| title_fullStr |
Risk Estimation on High Frequency Financial Data |
| title_full_unstemmed |
Risk Estimation on High Frequency Financial Data |
| title_sort |
risk estimation on high frequency financial data |
| publisher |
Springer |
| publishDate |
2015 |
| url |
https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/58091 |
| _version_ |
1782545550797701120 |