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...
שמור ב:
| מחבר ראשי: | |
|---|---|
| פורמט: | ספר |
| שפה: | English |
| יצא לאור: |
Springer
2015
|
| נושאים: | |
| גישה מקוונת: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/58091 |
| תגים: |
הוספת תג
אין תגיות, היה/י הראשונ/ה לתייג את הרשומה!
|
| Thư viện lưu trữ: | Thư viện Trường Đại học Đà Lạt |
|---|