Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System - Couverture souple

K�mm, Holger

9783658125950: Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System

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ISBN 10 : 3658125950 ISBN 13 : 9783658125950

Editeur : Springer Gabler, 2016

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This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger K�mm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX.

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� propos de l?auteur

Dr. Holger K�mm is research associate at the chair of statistics and quantitative methods in the economics & business department of the Catholic University Eichst�tt-Ingolstadt.

Les informations fournies dans la section � A propos du livre � peuvent faire r�f�rence � une autre �dition de ce titre.

�diteur: Springer Gabler
Date d'�dition: 2016
Langue: anglais
ISBN 10: 3658125950
ISBN 13: 9783658125950
Reliure: Broch�
Num�ro d'�dition: 1
Nombre de pages: 204
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Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System

K�mm, Holger

Edit� par Springer Gabler, 2016

ISBN 10 : 3658125950 ISBN 13 : 9783658125950

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Etat : Good. This is an ex-library book and may have the usual library/used-book markings inside.This book has soft covers. In good all round condition. Library sticker on front cover. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,400grams, ISBN:9783658125950. N� de r�f. du vendeur 3706581

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Forecasting High-Frequency Volatility Shocks

Holger K�mm

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ISBN 10 : 3658125950 ISBN 13 : 9783658125950

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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Dr. Holger Koemm is research associate at the chair of statistics and quantitative methods in the economics &amp business department of the Catholic University Eichstaett-Ingolstadt.&nbspIntegrated Volatility.-&nbspZero-inflated Data Generation Pr. N� de r�f. du vendeur 112604445

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Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System

Holger K�mm

Edit� par Springer Fachmedien Wiesbaden, 2016

ISBN 10 : 3658125950 ISBN 13 : 9783658125950

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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger K�mm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX. N� de r�f. du vendeur 9783658125950

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Forecasting High-Frequency Volatility Shocks

Holger K�mm

Edit� par Springer Fachmedien Wiesbaden Feb 2016, 2016

ISBN 10 : 3658125950 ISBN 13 : 9783658125950

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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger K�mm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX. 204 pp. Englisch. N� de r�f. du vendeur 9783658125950

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Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System

K�mm, Holger

Edit� par Springer Gabler, 2016

ISBN 10 : 3658125950 ISBN 13 : 9783658125950

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Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System

Holger K�mm

Edit� par Springer Gabler 2016-03-11, 2016

ISBN 10 : 3658125950 ISBN 13 : 9783658125950

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Paperback. Etat : New. N� de r�f. du vendeur 6666-IUK-9783658125950

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Forecasting High-Frequency Volatility Shocks

Holger K�mm

Edit� par Springer Fachmedien Wiesbaden, Springer Fachmedien Wiesbaden Feb 2016, 2016

ISBN 10 : 3658125950 ISBN 13 : 9783658125950

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Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne

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Taschenbuch. Etat : Neu. Neuware -This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger K�mm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX.Springer Gabler in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg 204 pp. Englisch. N� de r�f. du vendeur 9783658125950

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