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Risk Estimation on High Frequency Financial Data
Florian Jacob
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Description for Risk Estimation on High Frequency Financial Data
Paperback. Series: BestMasters. Num Pages: 81 pages, 12 black & white illustrations, 7 black & white tables, biography. BIC Classification: PBKS; PBT. Category: (P) Professional & Vocational. Dimension: 210 x 148 x 5. Weight in Grams: 126.
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.
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.
Product Details
Format
Paperback
Publication date
2015
Publisher
Springer Fachmedien Wiesbaden Germany
Number of pages
81
Condition
New
Series
BestMasters
Number of Pages
70
Place of Publication
Weisbaden, Germany
ISBN
9783658093884
SKU
V9783658093884
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Florian Jacob
Florian Jacob obtained his Master’s Degree in Business Engineering from the Karlsruhe Institute of Technology focusing on the application of tempered stable distributions on financial data and financial engineering.
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