Risk Estimation on High Frequency Financial Data: Empirical Analysis of the Dax 30

By florian jacob

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.

• Format: Paperback
• Language: English
• ISBN: 3658093889
• ISBN13: 9783658093884
• Release Date: April 2015
• Publisher: Springer Spektrum
• Length: 70 Pages
• Weight: 0.27 lbs.
• Dimensions: 0.2" x 5.8" x 8.3"