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Risk Estimation on High Frequency Financial Data

Empirical Analysis of the DAX 30

  • Book
  • © 2015

Overview

Authors:
  1. Florian Jacob

    1. Lehrstuhl f. Ökonometrie u. Statistik, Universität Karlsruhe, Karlsruhe, Germany

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  • Study in the field of natural sciences
  • Includes supplementary material: sn.pub/extras

Part of the book series: BestMasters (BEST)

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Table of contents (4 chapters)

  1. Front Matter

    Pages i-xi
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  2. Introduction

    • Florian Jacob
    Pages 1-3

  3. Theory of Time Series Modeling and Risk Estimation

    • Florian Jacob
    Pages 5-35

  4. Data and Methodology

    • Florian Jacob
    Pages 37-60

  5. Conclusion

    • Florian Jacob
    Pages 61-65

  6. Back Matter

    Pages 67-70
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Keywords

About this book

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.

Authors and Affiliations

  • Lehrstuhl f. Ökonometrie u. Statistik, Universität Karlsruhe, Karlsruhe, Germany

    Florian Jacob

About 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.

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