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Risk Estimation on High Frequency Financial Data Empirical Analysis of the DAX 30 /
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-GA...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum,
2015.
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| Edición: | 1st ed. 2015. |
| Colección: | BestMasters,
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| Temas: | |
| Acceso en línea: | Texto Completo |