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Risk Estimation on High Frequency Financial Data - Florian Jacob - Bog

- Empirical Analysis of the DAX 30

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Bag om Risk Estimation on High Frequency Financial Data

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783658093884
  • Indbinding:
  • Paperback
  • Sideantal:
  • 70
  • Udgivet:
  • 30. marts 2015
  • Udgave:
  • 2015
  • Størrelse:
  • 210x148x5 mm.
  • Vægt:
  • 1208 g.
  • 8-11 hverdage.
  • 9. december 2024
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Beskrivelse af Risk Estimation on High Frequency Financial Data

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.

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