Autorenfreundlich Bücher kaufen?!
Beschreibung
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.
Empirical Analysis of the DAX 30
Details
| Verlag | Springer Fachmedien Wiesbaden GmbH |
| Ersterscheinung | 07. April 2015 |
| Maße | 21 cm x 14.8 cm |
| Gewicht | 122 Gramm |
| Format | Softcover |
| ISBN-13 | 9783658093884 |
| Auflage | 2015 |
| Seiten | 70 |
Bekannt durch
