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Risk estimation on high frequency fi...

Jacob, Florian.

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Risk estimation on high frequency financial data = empirical analysis of the DAX 30 /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Risk estimation on high frequency financial data/ by Florian Jacob.
Reminder of title:	empirical analysis of the DAX 30 /
Author:	Jacob, Florian.
Published:	Wiesbaden :Springer Fachmedien Wiesbaden : : 2015.,
Description:	xi, 70 p. :ill., digital ;24 cm.
[NT 15003449]:	Multivariate Standard Normal Tempered Stable Distribution -- FIGARCH -- High Frequency Data and Risk Management.
Contained By:	Springer eBooks
Subject:	Stock exchanges - Germany. -
Online resource:	http://dx.doi.org/10.1007/978-3-658-09389-1
ISBN:	9783658093891 (electronic bk.)

Risk estimation on high frequency financial data = empirical analysis of the DAX 30 /
Jacob, Florian.

Risk estimation on high frequency financial dataempirical analysis of the DAX 30 /[electronic resource] :by Florian Jacob. - Wiesbaden :Springer Fachmedien Wiesbaden :2015. - xi, 70 p. :ill., digital ;24 cm. - BestMasters. - BestMasters..

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.

ISBN: 9783658093891 (electronic bk.)

Standard No.: 10.1007/978-3-658-09389-1doiSubjects--Topical Terms:

2139599
Stock exchanges
--Germany.

LC Class. No.: HG5492

Dewey Class. No.: 332.6780943

Risk estimation on high frequency financial data = empirical analysis of the DAX 30 /
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100 1 $a Jacob, Florian. $3 2139598
245 1 0 $a Risk estimation on high frequency financial data $h [electronic resource] : $b empirical analysis of the DAX 30 / $c by Florian Jacob.
260 $a Wiesbaden : $b Springer Fachmedien Wiesbaden : $b Imprint: Springer Spektrum, $c 2015.
300 $a xi, 70 p. : $b ill., digital ; $c 24 cm.
490 1 $a BestMasters
505 0 $a Multivariate Standard Normal Tempered Stable Distribution -- FIGARCH -- High Frequency Data and Risk Management.
520 $a 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.
650 0 $a Stock exchanges $z Germany. $3 2139599
650 0 $a Electronic trading of securities. $3 721458
650 0 $a Investments $x Mathematical models. $3 549985
650 0 $a Investment analysis. $3 566988
650 1 4 $a Mathematics. $3 515831
650 2 4 $a Probability Theory and Stochastic Processes. $3 891080
650 2 4 $a Computational Mathematics and Numerical Analysis. $3 891040
650 2 4 $a Analysis. $3 891106
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856 4 0 $u http://dx.doi.org/10.1007/978-3-658-09389-1
950 $a Mathematics and Statistics (Springer-11649)