Risk estimation on high frequency financial data

Empirical Analysis of the DAX 30

Auteurs

• Florian Jacob

Paramètres

• Pages: 84 pages
• Temps de lecture: 3 heures

• Mathématiques
• BestMasters

En savoir plus sur le livre

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.

Achat du livre

• Année de publication: 2015
• Reliure: (souple)