9783658093884 - BestMasters Risk Estimation on High Frequency Financial Data

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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.

Produktinformationen zuletzt aktualisiert am
20.03.2025 um 16:46 Uhr

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9783658093884

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