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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 Engineering from the Karlsruhe Institute of Technology focusing on the application of tempered stable distributions on financial data and financial engineering.

Mathematics. --- Probability Theory and Stochastic Processes. --- Computational Mathematics and Numerical Analysis. --- Analysis. --- Global analysis (Mathematics). --- Computer science --- Distribution (Probability theory). --- Mathématiques --- Analyse globale (Mathématiques) --- Informatique --- Distribution (Théorie des probabilités) --- Computer science_xMathematics. --- Distribution (Probability theory. --- Mathematics --- Physical Sciences & Mathematics --- Mathematical Statistics --- Stock exchanges --- Electronic trading of securities. --- Investments --- Mathematical models. --- Online investing --- Online trading of securities --- Screen trading (Securities) --- Trading of securities, Electronic --- Mathematical analysis. --- Analysis (Mathematics). --- Computer mathematics. --- Probabilities. --- Securities --- Online stockbrokers --- Data processing --- Analysis, Global (Mathematics) --- Differential topology --- Functions of complex variables --- Geometry, Algebraic --- Computer mathematics --- Discrete mathematics --- Electronic data processing --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- 517.1 Mathematical analysis --- Mathematical analysis --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Probability Theory. --- Data processing.