Welcome to Loot.co.za! Sign in / Register |Wishlists & Gift Vouchers |Help | Advanced search

Checkout
- Your Cart Price

Your cart

Your cart is empty

Books > Science & Mathematics > Mathematics > Probability & statistics

Buy Now

Risk Estimation on High Frequency Financial Data - Empirical Analysis of the DAX 30 (Paperback, 2015 ed.) Loot Price: R1,670

Discovery Miles 16 700

Repayment Terms: R157 pm x 12*

Add to cart

Risk Estimation on High Frequency Financial Data - Empirical Analysis of the DAX 30 (Paperback, 2015 ed.): Florian Jacob

Risk Estimation on High Frequency Financial Data - Empirical Analysis of the DAX 30 (Paperback, 2015 ed.)

Florian Jacob

Series: BestMasters

(sign in to rate)

Loot Price R1,670 Discovery Miles 16 700 | Repayment Terms: R157 pm x 12*

Expected to ship within 10 - 15 working days

Description
Details
Customer Reviews

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.

General

Imprint:	Springer Spektrum
Country of origin:	Germany
Series:	BestMasters
Release date:	April 2015
First published:	2015
Authors:	Florian Jacob
Dimensions:	210 x 148 x 5mm (L x W x T)
Format:	Paperback
Pages:	70
Edition:	2015 ed.
ISBN-13:	978-3-658-09388-4
Categories:	Books > Science & Mathematics > Mathematics > Numerical analysis Books > Science & Mathematics > Mathematics > Probability & statistics Promotions
LSN:	3-658-09388-9
Barcode:	9783658093884