{"product_id":"risk-estimation-on-high-frequency-financial-data-empirical-analysis-of-the-dax-30-9783658093884","title":"Risk Estimation on High Frequency Financial Data: Empirical Analysis of the Dax 30","description":"\u003cp\u003e • Author(s): Florian Jacob\u003cbr\u003e • Publisher: Springer\u003cbr\u003e • Publisher Imprint: Springer Spektrum\u003cbr\u003e • BISAC: Probability \u0026amp; Statistics - General\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cb\u003eFrom the Back Cover\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003eBy 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.\u003c\/p\u003e\u003cp\u003e\u003cb\u003e\u003c\/b\u003e\u003c\/p\u003e\u003cp\u003e\u003cb\u003eContents\u003c\/b\u003e\u003c\/p\u003e\u003cul\u003e\n\u003cli\u003e\n\u003cb\u003e\u003c\/b\u003eMultivariate Standard Normal Tempered Stable Distribution\u003c\/li\u003e\n\u003cli\u003eFIGARCH\u003c\/li\u003e\n\u003cli\u003eHigh Frequency Data and Risk Management\u003c\/li\u003e\n\u003c\/ul\u003e\u003cp\u003e\u003cb\u003eTarget Groups\u003c\/b\u003e\u003c\/p\u003e\u003cul\u003e\n\u003cli\u003e\n\u003cb\u003e\u003c\/b\u003eResearchers and students in the field of finance\u003c\/li\u003e\n\u003cli\u003ePractitioners in this area\u003c\/li\u003e\n\u003c\/ul\u003e\u003cp\u003e\u003cb\u003eThe Author\u003c\/b\u003e\u003c\/p\u003e\u003cp\u003eFlorian 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.\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e","brand":"Springer","offers":[{"title":"Paperback","offer_id":45274297893015,"sku":"9783658093884","price":3672.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9783658093884.webp?v=1769279506","url":"https:\/\/atlanticbooks.com\/products\/risk-estimation-on-high-frequency-financial-data-empirical-analysis-of-the-dax-30-9783658093884","provider":"Atlantic Books","version":"1.0","type":"link"}