Risk Estimation on High Frequency Financial Data Empirical Analysis of the DAX 30 /
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...
Κύριος συγγραφέας: | Jacob, Florian (Συγγραφέας) |
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Συγγραφή απο Οργανισμό/Αρχή: | SpringerLink (Online service) |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum,
2015.
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Σειρά: | BestMasters
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
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