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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Jacob, Florian (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum, 2015.
Edition:1st ed. 2015.
Series:BestMasters,
Subjects:
Probabilities.
Mathematics > Data processing.
Mathematical analysis.
Probability Theory.
Computational Mathematics and Numerical Analysis.
Analysis.
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