Link Download ebook Free: https://ouo.io/G8yItj Risk Estimation on High Frequency Financial Data Empirical Analysis of the DAX 30 By: Florian Jacob Publisher: Springer Spektrum Print ISBN: 9783658093884, 3658093889 eText ISBN: 9783658093891, 3658093897 Copyright year: 2015 Format: PDF Available from $ 79.99 USD SKU 9783658093891 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.
