The Resource Risk Estimation on High Frequency Financial Data : Empirical Analysis of the DAX 30, by Florian Jacob, (electronic resource)

Risk Estimation on High Frequency Financial Data : Empirical Analysis of the DAX 30, by Florian Jacob, (electronic resource)

Label
Risk Estimation on High Frequency Financial Data : Empirical Analysis of the DAX 30
Title
Risk Estimation on High Frequency Financial Data
Title remainder
Empirical Analysis of the DAX 30
Statement of responsibility
by Florian Jacob
Creator
Author
Author
Subject
Language
  • eng
  • eng
Summary
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
Member of
http://library.link/vocab/creatorName
Jacob, Florian
Dewey number
  • 510
  • 515
  • 518
  • 519.2
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
bDBWk1X6UhU
Language note
English
LC call number
  • QA273.A1-274.9
  • QA274-274.9
Literary form
non fiction
Nature of contents
dictionaries
Series statement
BestMasters,
http://library.link/vocab/subjectName
  • Distribution (Probability theory
  • Computer science
  • Global analysis (Mathematics)
  • Probability Theory and Stochastic Processes
  • Computational Mathematics and Numerical Analysis
  • Analysis
Label
Risk Estimation on High Frequency Financial Data : Empirical Analysis of the DAX 30, by Florian Jacob, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
Multivariate Standard Normal Tempered Stable Distribution -- FIGARCH -- High Frequency Data and Risk Management
Dimensions
unknown
Edition
1st ed. 2015.
Extent
1 online resource (78 p.)
Form of item
online
Isbn
9783658093891
Media category
computer
Media type code
  • c
Other control number
10.1007/978-3-658-09389-1
Specific material designation
remote
System control number
  • (CKB)3710000000379708
  • (EBL)2096049
  • (SSID)ssj0001465700
  • (PQKBManifestationID)11967644
  • (PQKBTitleCode)TC0001465700
  • (PQKBWorkID)11487118
  • (PQKB)11667201
  • (DE-He213)978-3-658-09389-1
  • (MiAaPQ)EBC2096049
  • (EXLCZ)993710000000379708
Label
Risk Estimation on High Frequency Financial Data : Empirical Analysis of the DAX 30, by Florian Jacob, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
Multivariate Standard Normal Tempered Stable Distribution -- FIGARCH -- High Frequency Data and Risk Management
Dimensions
unknown
Edition
1st ed. 2015.
Extent
1 online resource (78 p.)
Form of item
online
Isbn
9783658093891
Media category
computer
Media type code
  • c
Other control number
10.1007/978-3-658-09389-1
Specific material designation
remote
System control number
  • (CKB)3710000000379708
  • (EBL)2096049
  • (SSID)ssj0001465700
  • (PQKBManifestationID)11967644
  • (PQKBTitleCode)TC0001465700
  • (PQKBWorkID)11487118
  • (PQKB)11667201
  • (DE-He213)978-3-658-09389-1
  • (MiAaPQ)EBC2096049
  • (EXLCZ)993710000000379708

Library Locations

  • Architecture LibraryBorrow it
    Gould Hall 830 Van Vleet Oval Rm. 105, Norman, OK, 73019, US
    35.205706 -97.445050
  • Bizzell Memorial LibraryBorrow it
    401 W. Brooks St., Norman, OK, 73019, US
    35.207487 -97.447906
  • Boorstin CollectionBorrow it
    401 W. Brooks St., Norman, OK, 73019, US
    35.207487 -97.447906
  • Chinese Literature Translation ArchiveBorrow it
    401 W. Brooks St., RM 414, Norman, OK, 73019, US
    35.207487 -97.447906
  • Engineering LibraryBorrow it
    Felgar Hall 865 Asp Avenue, Rm. 222, Norman, OK, 73019, US
    35.205706 -97.445050
  • Fine Arts LibraryBorrow it
    Catlett Music Center 500 West Boyd Street, Rm. 20, Norman, OK, 73019, US
    35.210371 -97.448244
  • Harry W. Bass Business History CollectionBorrow it
    401 W. Brooks St., Rm. 521NW, Norman, OK, 73019, US
    35.207487 -97.447906
  • History of Science CollectionsBorrow it
    401 W. Brooks St., Rm. 521NW, Norman, OK, 73019, US
    35.207487 -97.447906
  • John and Mary Nichols Rare Books and Special CollectionsBorrow it
    401 W. Brooks St., Rm. 509NW, Norman, OK, 73019, US
    35.207487 -97.447906
  • Library Service CenterBorrow it
    2601 Technology Place, Norman, OK, 73019, US
    35.185561 -97.398361
  • Price College Digital LibraryBorrow it
    Adams Hall 102 307 West Brooks St., Norman, OK, 73019, US
    35.210371 -97.448244
  • Western History CollectionsBorrow it
    Monnet Hall 630 Parrington Oval, Rm. 300, Norman, OK, 73019, US
    35.209584 -97.445414
Processing Feedback ...