Risk Estimation on High Frequency Financial Data

Empirical Analysis of the DAX 30
2015
ISBN: 978-3-658-09388-4
Verlag: Springer

Buch, Englisch, 70 Seiten, Format (B × H): 148 mm x 210 mm, Gewicht: 1208 g

Reihe: BestMasters

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.

Zielgruppe

Research

Autoren/Hrsg.

Jacob, Florian

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik

Inhaltsverzeichnis

Multivariate Standard Normal Tempered Stable Distribution.- FIGARCH.- High Frequency Data and Risk Management.

Über Autor(innen)

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.