By Florian Jacob
statistical good points of intraday facts at a five min sampling frequency, Florian Jacobs extends the study on excessive frequency information in addition to the application of tempered sturdy versions. He examines the DAX30 returns utilizing ARMA-GARCH NTS, ARMA-GARCH MNTS (Multivariate common Tempered good) and ARMA-FIGARCH (Fractionally built-in GARCH) NTS. The types should be benchmarked via their goodness of healthy and their VaR and AVaR, in addition to in an ancient Backtesting.
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Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30 (BestMasters) by Florian Jacob