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Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30 - BestMasters Florian Jacob 2015 edition
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Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30 - BestMasters
Florian Jacob
By studying the ability of the Normal Tempered Stable (NTS) model to fit thestatistical 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.
70 pages, 12 black & white illustrations, 7 black & white tables, biography
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