Risk Estimation on High Frequency Financial Data Empirical Analysis of the DAX 30 /

• Κύριος συγγραφέας: Jacob, Florian (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum, 2015.
• Σειρά: BestMasters
• Θέματα: Mathematics.; Mathematical analysis.; Analysis (Mathematics).; Computer mathematics.; Probabilities.; Probability Theory and Stochastic Processes.; Computational Mathematics and Numerical Analysis.; Analysis.

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-GA...