TY - BOOK ID - 4867359 TI - Risk Estimation on High Frequency Financial Data : Empirical Analysis of the DAX 30 PY - 2015 SN - 9783658093891 3658093889 9783658093884 3658093897 PB - Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum, DB - UniCat KW - Mathematics. KW - Probability Theory and Stochastic Processes. KW - Computational Mathematics and Numerical Analysis. KW - Analysis. KW - Global analysis (Mathematics). KW - Computer science KW - Distribution (Probability theory). KW - Mathématiques KW - Analyse globale (Mathématiques) KW - Informatique KW - Distribution (Théorie des probabilités) KW - Computer science_xMathematics. KW - Distribution (Probability theory. KW - Mathematics KW - Physical Sciences & Mathematics KW - Mathematical Statistics KW - Stock exchanges KW - Electronic trading of securities. KW - Investments KW - Mathematical models. KW - Online investing KW - Online trading of securities KW - Screen trading (Securities) KW - Trading of securities, Electronic KW - Mathematical analysis. KW - Analysis (Mathematics). KW - Computer mathematics. KW - Probabilities. KW - Securities KW - Online stockbrokers KW - Data processing KW - Analysis, Global (Mathematics) KW - Differential topology KW - Functions of complex variables KW - Geometry, Algebraic KW - Computer mathematics KW - Discrete mathematics KW - Electronic data processing KW - Distribution functions KW - Frequency distribution KW - Characteristic functions KW - Probabilities KW - 517.1 Mathematical analysis KW - Mathematical analysis KW - Probability KW - Statistical inference KW - Combinations KW - Chance KW - Least squares KW - Mathematical statistics KW - Risk KW - Probability Theory. KW - Data processing. UR - https://www.unicat.be/uniCat?func=search&query=sysid:4867359 AB - 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. ER -