{"product_id":"risk-estimation-on-high-frequency-florian-jacob-9783658093884","title":"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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Florian Jacob\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 3658093889\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783658093884\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Springer Spektrum\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 04\/07\/2015\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 70\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.27lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 8.27h x 5.83w x 0.20d","brand":"Florian Jacob","offers":[{"title":"Paperback","offer_id":48996317987071,"sku":"9783658093884","price":54.99,"currency_code":"USD","in_stock":true}],"url":"https:\/\/www.whiterainbookhouse.com\/products\/risk-estimation-on-high-frequency-florian-jacob-9783658093884","provider":"WR Book House","version":"1.0","type":"link"}