Ergebnisse für: Multivariate Standard Normal Tempered Stable Distribution

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Risk Estimation on High Frequency Financial Data

Florian Jacob
Springer Fachmedien Wiesbaden GmbH
53.49 € · Paperback

FIGARCH Finance Multivariate Standard Normal Tempered Stable Distribution Normal Tempered Stable (NTS) Model Risk Management

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...

Risk Estimation on High Frequency Financial Data

Florian Jacob
Springer Fachmedien Wiesbaden GmbH
53.49 € · eBook

FIGARCH Finance Multivariate Standard Normal Tempered Stable Distribution Normal Tempered Stable (NTS) Model Risk Management

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