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...
Guardat en:
| Autor principal: | |
|---|---|
| Format: | Llibre |
| Idioma: | English |
| Publicat: |
Springer
2015
|
| Matèries: | |
| Accés en línia: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/58091 |
| Etiquetes: |
Afegir etiqueta
Sense etiquetes, Sigues el primer a etiquetar aquest registre!
|
| Thư viện lưu trữ: | Thư viện Trường Đại học Đà Lạt |
|---|