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Risk Estimation on High Frequency Financial Data Empirical Analysis of the DAX 30

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50c8c4d54249a0ca044aa1eaa8598dad.jpg [b]Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30 (BestMasters) by Florian Jacob[/b] English | 2015 | ISBN: 3658093889 | 70 pages | PDF | 1,4 MB 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.7409461d53baf8ee6fe405f510a7faff.png [b]Buy Premium From My Links To Get Resumable Support,Max Speed & Support Me[/b]
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