Titlebook: Risk Estimation on High Frequency Financial Data; Empirical Analysis o Florian Jacob Book 2015 Springer Fachmedien Wiesbaden 2015 FIGARCH.F

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Introduction, high-frequency and algorithmic-trading (Itai and Sussmann 2009). In the recent past, high-frequency trading and automated trading has been accused for enforcing price shocks and rising volatility. Consequently it is of high interest in the academic world of understanding the complex phenomena and p

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Theory of Time Series Modeling and Risk Estimation,ast for the distribution of returns, prediction of future market volatility is critical. A key modeling difficulty is that market volatility cannot be observed directly. Volatility musst be inferred by looking at the past behavior of market prices or at the value of financial derivatives. Appllying

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Data and Methodology,or the data set. Section 3.2 describes transformation of the data which is applied to remove the intraday volatility profile. Subsequently, ARMA-GARCH and FIGARCH models with different innovation distribution assumptions are compared in their modeling capabilities. The special case of tempered infin

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Book 2015CH 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.

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Florian Jacob to practical clinical discussion of behavioral assessments Adolescence is a pivotal period of development with respect to health and illness. It is during adolescence that many positive health behaviors are consolidated and important health risk behaviors are first evident; thus, adolescence is a l

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Florian Jacobnsolidated and important health risk behaviors are first evident; thus, adolescence is a logical time period for primary prevention. In addition, the predominant causes of morbidity and mortality in adolescence are quite different from those of adults, indicating that early identification and treatm