| 书目名称 | Risk Estimation on High Frequency Financial Data |
| 副标题 | Empirical Analysis o |
| 编辑 | Florian Jacob |
| 视频video | |
| 概述 | Study in the field of natural sciences.Includes supplementary material: |
| 丛书名称 | BestMasters |
| 图书封面 |  |
| 描述 | By studying the ability of the Normal Tempered Stable (NTS) model to fit thestatistical 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. |
| 出版日期 | Book 2015 |
| 关键词 | FIGARCH; Finance; Multivariate Standard Normal Tempered Stable Distribution; Normal Tempered Stable (NT |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-658-09389-1 |
| isbn_softcover | 978-3-658-09388-4 |
| isbn_ebook | 978-3-658-09389-1Series ISSN 2625-3577 Series E-ISSN 2625-3615 |
| issn_series | 2625-3577 |
| copyright | Springer Fachmedien Wiesbaden 2015 |
发表于 2025-3-21 17:10:08
