1.

Record Nr.

UNINA9910299777603321

Autore

Jacob Florian

Titolo

Risk Estimation on High Frequency Financial Data : Empirical Analysis of the DAX 30 / / by Florian Jacob

Pubbl/distr/stampa

Wiesbaden : , : Springer Fachmedien Wiesbaden : , : Imprint : Springer Spektrum, , 2015

ISBN

3-658-09389-7

Edizione

[1st ed. 2015.]

Descrizione fisica

1 online resource (78 p.)

Collana

BestMasters, , 2625-3615

Disciplina

510

515

518

519.2

Soggetti

Probabilities

Mathematics - Data processing

Mathematical analysis

Probability Theory

Computational Mathematics and Numerical Analysis

Analysis

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Description based upon print version of record.

Nota di bibliografia

Includes bibliographical references.

Nota di contenuto

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

Sommario/riassunto

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. Contents Multivariate Standard Normal Tempered Stable Distribution FIGARCH High Frequency Data and Risk Management Target Groups Researchers and students in the field of finance Practitioners in this area The Author Florian Jacob obtained his



Master’s Degree in Business Engineering from the Karlsruhe Institute of Technology focusing on the application of tempered stable distributions on financial data and financial engineering.