03201nam 22006735 450 991029977760332120250609110116.03-658-09389-710.1007/978-3-658-09389-1(CKB)3710000000379708(EBL)2096049(SSID)ssj0001465700(PQKBManifestationID)11967644(PQKBTitleCode)TC0001465700(PQKBWorkID)11487118(PQKB)11667201(DE-He213)978-3-658-09389-1(MiAaPQ)EBC2096049(PPN)18489428X(MiAaPQ)EBC3109104(EXLCZ)99371000000037970820150328d2015 u| 0engur|n|---|||||txtccrRisk Estimation on High Frequency Financial Data Empirical Analysis of the DAX 30 /by Florian Jacob1st ed. 2015.Wiesbaden :Springer Fachmedien Wiesbaden :Imprint: Springer Spektrum,2015.1 online resource (78 p.)BestMasters,2625-3615Description based upon print version of record.3-658-09388-9 Includes bibliographical references.Multivariate Standard Normal Tempered Stable Distribution -- FIGARCH -- High Frequency Data and Risk Management.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.BestMasters,2625-3615ProbabilitiesMathematicsData processingMathematical analysisProbability TheoryComputational Mathematics and Numerical AnalysisAnalysisProbabilities.MathematicsData processing.Mathematical analysis.Probability Theory.Computational Mathematics and Numerical Analysis.Analysis.510515518519.2Jacob Florianauthttp://id.loc.gov/vocabulary/relators/aut755696BOOK9910299777603321Risk estimation on high frequency financial data1522850UNINA