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

• Main Author: Jacob, Florian (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum, 2015.
• Series: BestMasters
• Subjects: 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...

Table of Contents:

• Multivariate Standard Normal Tempered Stable Distribution
• FIGARCH
• High Frequency Data and Risk Management.