{"product_id":"risk-estimation-on-high-frequency-financial-data-von-florian-jacob","title":"Risk Estimation on High Frequency Financial Data","description":"By studying the ability of the Normal Tempered Stable (NTS) model to fit the\nstatistical 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.\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783658093884\"\u003e\u003ch3\u003eEmpirical Analysis of the DAX 30\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783658093884","offer_id":40722477973597,"sku":"9783658093884","price":53.49,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/a64349e4-dac9-4819-a461-b9fa85ef896e.jpg?v=1772175090","url":"https:\/\/shop.autorenwelt.de\/en\/products\/risk-estimation-on-high-frequency-financial-data-von-florian-jacob","provider":"Autorenwelt Shop","version":"1.0","type":"link"}