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Risk Estimation on High Frequency Financial Data : Empirical Analysis of the DAX 30 / by Florian Jacob
(BestMasters. ISSN:26253615)
版 | 1st ed. 2015. |
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出版者 | (Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum) |
出版年 | 2015 |
本文言語 | 英語 |
大きさ | XI, 70 p. 12 illus : online resource |
著者標目 | *Jacob, Florian author SpringerLink (Online service) |
件 名 | LCSH:Probabilities LCSH:Mathematics -- Data processing 全ての件名で検索 LCSH:Mathematical analysis FREE:Probability Theory FREE:Computational Mathematics and Numerical Analysis FREE:Analysis |
一般注記 | Multivariate Standard Normal Tempered Stable Distribution -- FIGARCH -- High Frequency Data and Risk Management 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. Contents Multivariate Standard Normal Tempered Stable Distribution FIGARCH High Frequency Data and Risk Management Target Groups Researchers and students in the field of finance Practitioners in this area The Author 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 HTTP:URL=https://doi.org/10.1007/978-3-658-09389-1 |
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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9783658093891 |
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EB00234582 |
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データ種別 | 電子ブック |
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分 類 | LCC:QA273.A1-274.9 DC23:519.2 |
書誌ID | 4000118562 |
ISBN | 9783658093891 |
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