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- Author: Florian Jacob
- Publisher: Springer Spektrum
- Year: 2015
- Pages: 70
- ISBN-10: 3658093889
- ISBN-13: 9783658093884
- Format: 14.8 x 21 x 0.5 cm, minkšti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
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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.
EXTRA 10 % discount with code: EXTRA
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- Author: Florian Jacob
- Publisher: Springer Spektrum
- Year: 2015
- Pages: 70
- ISBN-10: 3658093889
- ISBN-13: 9783658093884
- Format: 14.8 x 21 x 0.5 cm, minkšti viršeliai
- Language: English English
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.
Reviews