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Titlebook: Risk Estimation on High Frequency Financial Data; Empirical Analysis o Florian Jacob Book 2015 Springer Fachmedien Wiesbaden 2015 FIGARCH.F

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發(fā)表于 2025-3-21 17:10:08 | 只看該作者 |倒序?yàn)g覽 |閱讀模式
書目名稱Risk Estimation on High Frequency Financial Data
副標(biāo)題Empirical Analysis o
編輯Florian Jacob
視頻videohttp://file.papertrans.cn/831/830652/830652.mp4
概述Study in the field of natural sciences.Includes supplementary material:
叢書名稱BestMasters
圖書封面Titlebook: Risk Estimation on High Frequency Financial Data; Empirical Analysis o Florian Jacob Book 2015 Springer Fachmedien Wiesbaden 2015 FIGARCH.F
描述By studying the ability of the Normal Tempered Stable (NTS) model to fit thestatistical 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.
出版日期Book 2015
關(guān)鍵詞FIGARCH; Finance; Multivariate Standard Normal Tempered Stable Distribution; Normal Tempered Stable (NT
版次1
doihttps://doi.org/10.1007/978-3-658-09389-1
isbn_softcover978-3-658-09388-4
isbn_ebook978-3-658-09389-1Series ISSN 2625-3577 Series E-ISSN 2625-3615
issn_series 2625-3577
copyrightSpringer Fachmedien Wiesbaden 2015
The information of publication is updating

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沙發(fā)
發(fā)表于 2025-3-21 22:16:49 | 只看該作者
Florian Jacobotiated has important implications for disease outcomes throughout the remainder of the person’s life span.Organized in five major sections (General Issues, Developmental Issues, Treatment and Training, Mental Health, and Physical Health) and 44 chapters, Handbook of Adolescent Health Psychology add
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發(fā)表于 2025-3-22 01:48:55 | 只看該作者
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發(fā)表于 2025-3-22 04:53:39 | 只看該作者
otiated has important implications for disease outcomes throughout the remainder of the person’s life span.Organized in five major sections (General Issues, Developmental Issues, Treatment and Training, Mental Health, and Physical Health) and 44 chapters, Handbook of Adolescent Health Psychology add
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發(fā)表于 2025-3-22 10:59:57 | 只看該作者
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發(fā)表于 2025-3-22 15:40:36 | 只看該作者
Florian Jacobrson’s life span.Organized in five major sections (General Issues, Developmental Issues, Treatment and Training, Mental Health, and Physical Health) and 44 chapters, Handbook of Adolescent Health Psychology add978-1-4939-4836-9978-1-4614-6633-8
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發(fā)表于 2025-3-22 23:15:38 | 只看該作者
Data and Methodology,itely divisible innovation distributions is investigated further to find dependencies between the corresponding parameter values and the frequency on which log-returns are constructed. The forecasting performance of the respective models is investigated in a Value-at-Risk backtest.
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發(fā)表于 2025-3-23 04:28:32 | 只看該作者
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