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Risk Estimation on High Frequency Financial Data by Florian Jacob
Risk Estimation on High Frequency Financial Data by Florian Jacob
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Risk Estimation on High Frequency Financial Data

Empirical Analysis of the DAX 30
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Description

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.

Author Biography:

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.
Release date Australia
April 7th, 2015
Author
Audience
  • Professional & Vocational
Illustrations
12 Illustrations, black and white; XI, 70 p. 12 illus.
Pages
70
Dimensions
148x210x5
ISBN-13
9783658093884
Product ID
23455829

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