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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Springer
2015
|
| Subjects: | |
| Online Access: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/58091 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institutions: | Thư viện Trường Đại học Đà Lạt |
|---|