{"product_id":"9783658093884","title":"BestMasters: Empirical Analysis of the DAX 30","description":"\u003ch1\u003eBestMasters: Empirical Analysis of the DAX 30\u003c\/h1\u003e \u003ch2\u003eJacob, Florian\u003c\/h2\u003e \u003cp\u003eBy studying the ability of the Normal Tempered Stable (NTS) model to fit the\nstatistical 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.\u003c\/p\u003e \u003ch3\u003eDetails\u003c\/h3\u003e \u003cp\u003ePublished by: Springer Spektrum\u003c\/p\u003e \u003cp\u003ePublication Date: 2015-04-07\u003c\/p\u003e \u003cp\u003eFormat: Paperback\u003c\/p\u003e \u003cp\u003eISBN-13: 9783658093884\u003c\/p\u003e \u003cp\u003eDOI: 10.1007\/978-3-658-09389-1\u003c\/p\u003e \u003cp\u003eDimensions: 210cm x148cm\u003c\/p\u003e \u003cp\u003ePages: 70\u003c\/p\u003e ","brand":"Springer Fachmedien Wiesbaden","offers":[{"title":"Default Title","offer_id":46547623477388,"sku":"9783658093884","price":49.49,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0710\/9545\/1788\/files\/9783658093884.jpg?v=1775834937","url":"https:\/\/lateknightbooks.com\/products\/9783658093884","provider":"Late Knight Books and Services, LLC","version":"1.0","type":"link"}