LEADER 03166nam 22006615 450 001 9910299777603321 005 20230810213530.0 010 $a3-658-09389-7 024 7 $a10.1007/978-3-658-09389-1 035 $a(CKB)3710000000379708 035 $a(EBL)2096049 035 $a(SSID)ssj0001465700 035 $a(PQKBManifestationID)11967644 035 $a(PQKBTitleCode)TC0001465700 035 $a(PQKBWorkID)11487118 035 $a(PQKB)11667201 035 $a(DE-He213)978-3-658-09389-1 035 $a(MiAaPQ)EBC2096049 035 $a(PPN)18489428X 035 $a(EXLCZ)993710000000379708 100 $a20150328d2015 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aRisk Estimation on High Frequency Financial Data $eEmpirical Analysis of the DAX 30 /$fby Florian Jacob 205 $a1st ed. 2015. 210 1$aWiesbaden :$cSpringer Fachmedien Wiesbaden :$cImprint: Springer Spektrum,$d2015. 215 $a1 online resource (78 p.) 225 1 $aBestMasters,$x2625-3615 300 $aDescription based upon print version of record. 311 $a3-658-09388-9 320 $aIncludes bibliographical references. 327 $aMultivariate Standard Normal Tempered Stable Distribution -- FIGARCH -- High Frequency Data and Risk Management. 330 $aBy studying the ability of the Normal Tempered Stable (NTS) model to fit the statistical features of intraday data at a 5 min sampling frequency, Florian Jacobs extends the research on high frequency data as well as the appliance of tempered stable models. He examines the DAX30 returns using ARMA-GARCH NTS, ARMA-GARCH MNTS (Multivariate Normal Tempered Stable) and ARMA-FIGARCH (Fractionally Integrated GARCH) NTS. The models will be benchmarked through their goodness of fit and their VaR and AVaR, as well as in an historical Backtesting. Contents Multivariate Standard Normal Tempered Stable Distribution FIGARCH High Frequency Data and Risk Management Target Groups Researchers and students in the field of finance Practitioners in this area The Author Florian Jacob obtained his Master?s Degree in Business Engineering from the Karlsruhe Institute of Technology focusing on the application of tempered stable distributions on financial data and financial engineering. 410 0$aBestMasters,$x2625-3615 606 $aProbabilities 606 $aMathematics$xData processing 606 $aMathematical analysis 606 $aProbability Theory 606 $aComputational Mathematics and Numerical Analysis 606 $aAnalysis 615 0$aProbabilities. 615 0$aMathematics$xData processing. 615 0$aMathematical analysis. 615 14$aProbability Theory. 615 24$aComputational Mathematics and Numerical Analysis. 615 24$aAnalysis. 676 $a510 676 $a515 676 $a518 676 $a519.2 700 $aJacob$b Florian$4aut$4http://id.loc.gov/vocabulary/relators/aut$0755696 906 $aBOOK 912 $a9910299777603321 996 $aRisk estimation on high frequency financial data$91522850 997 $aUNINA