Risk estimation on high frequency financial data: empirical analysis of the DAX 30
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Wiesbaden
Springer Spektrum
2015
|
| Schriftenreihe: | BestMasters
|
| Schlagworte: | |
| Online-Zugang: | BTU01 FRO01 TUM01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource (XI, 70 S.) 12 illus |
| ISBN: | 9783658093891 |
| DOI: | 10.1007/978-3-658-09389-1 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804153212169617408 |
|---|---|
| adam_text | RISK ESTIMATION ON HIGH FREQUENCY FINANCIAL DATA
/ JACOB, FLORIAN
: 2015
TABLE OF CONTENTS / INHALTSVERZEICHNIS
MULTIVARIATE STANDARD NORMAL TEMPERED STABLE DISTRIBUTION
FIGARCH
HIGH FREQUENCY DATA AND RISK MANAGEMENT
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
RISK ESTIMATION ON HIGH FREQUENCY FINANCIAL DATA
/ JACOB, FLORIAN
: 2015
ABSTRACT / INHALTSTEXT
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. CONTENTS MULTIVARIATE
STANDARD NORMAL TEMPERED STABLE DISTRIBUTION FIGARCH HIGH FREQUENCY DATA
AND RISK MANAGEMENT TARGET GROUPS RESEARCHERS AND STUDENTS IN THE FIELD
OF FINANCE PRACTITIONERS IN THIS AREA THE AUTHOR FLORIAN JACOB OBTAINED
HIS MASTER’S DEGREE IN BUSINESS ENGINEERINGFROM THE KARLSRUHE
INSTITUTE OF TECHNOLOGY FOCUSING ON THE APPLICATION OF TEMPERED STABLE
DISTRIBUTIONS ON FINANCIAL DATA AND FINANCIAL ENGINEERING
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
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| discipline | Mathematik |
| doi_str_mv | 10.1007/978-3-658-09389-1 |
| format | Electronic eBook |
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| indexdate | 2024-07-10T01:23:01Z |
| institution | BVB |
| isbn | 9783658093891 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027917082 |
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| spelling | Jacob, Florian Verfasser aut Risk estimation on high frequency financial data empirical analysis of the DAX 30 Florian Jacob Wiesbaden Springer Spektrum 2015 1 Online-Ressource (XI, 70 S.) 12 illus txt rdacontent c rdamedia cr rdacarrier BestMasters Mathematics Global analysis (Mathematics) Computer science / Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Computational Mathematics and Numerical Analysis Analysis Informatik Mathematik Erscheint auch als Druckausgabe 978-3-658-09388-4 https://doi.org/10.1007/978-3-658-09389-1 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027917082&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027917082&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
| spellingShingle | Jacob, Florian Risk estimation on high frequency financial data empirical analysis of the DAX 30 Mathematics Global analysis (Mathematics) Computer science / Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Computational Mathematics and Numerical Analysis Analysis Informatik Mathematik |
| title | Risk estimation on high frequency financial data empirical analysis of the DAX 30 |
| title_auth | Risk estimation on high frequency financial data empirical analysis of the DAX 30 |
| title_exact_search | Risk estimation on high frequency financial data empirical analysis of the DAX 30 |
| title_full | Risk estimation on high frequency financial data empirical analysis of the DAX 30 Florian Jacob |
| title_fullStr | Risk estimation on high frequency financial data empirical analysis of the DAX 30 Florian Jacob |
| title_full_unstemmed | Risk estimation on high frequency financial data empirical analysis of the DAX 30 Florian Jacob |
| title_short | Risk estimation on high frequency financial data |
| title_sort | risk estimation on high frequency financial data empirical analysis of the dax 30 |
| title_sub | empirical analysis of the DAX 30 |
| topic | Mathematics Global analysis (Mathematics) Computer science / Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Computational Mathematics and Numerical Analysis Analysis Informatik Mathematik |
| topic_facet | Mathematics Global analysis (Mathematics) Computer science / Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Computational Mathematics and Numerical Analysis Analysis Informatik Mathematik |
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