Risk Estimation on High Frequency Financial Data E-Book

Florian Jacob

• Herausgeber: Springer Fachmedien Wiesbaden GmbH
• Kategorie: Wissenschaft und neue Technologien
• Sprache: Englisch

Veröffentlichungsjahr: 2015

Beschreibung

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.