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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| Язык: | English |
| Опубликовано: |
Springer
2015
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| Online-ссылка: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/58091 |
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| Thư viện lưu trữ: | Thư viện Trường Đại học Đà Lạt |
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