Risk Estimation on High Frequency Financial Data Empirical Analysis of the DAX 30
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.
Keywords
MathematicsProbability & StatisticsNumerical AnalysisMathematical AnalysisStochastic ProcessesCalculus
2015Book
Author(s)Florian Jacob
PublisherSpringer Fachmedien Wiesbaden
ISBN9783658093884
LanguageEnglish
