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

Kömm, Holger

 
9783658125950: Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System
Couverture souple
ISBN 10 : 3658125950 ISBN 13 : 9783658125950
Editeur : Springer Gabler, 2016

Synopsis

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 Kömm 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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

Dr. Holger Kömm is research associate at the chair of statistics and quantitative methods in the economics & business department of the Catholic University Eichstätt-Ingolstadt.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer Gabler
Date d'édition
2016
Langue
anglais
ISBN 10 
3658125950
ISBN 13 
9783658125950
Reliure
Broché
Numéro d'édition
1
Nombre de pages
204
Coordonnées du fabricant
non disponible
Personne responsable
CMN Printpool Inh. Mathis Neumann
https://www.also.com/ec/cms5/en_6000/6000/index.jsp

Friedrich-Karl-Str. 9
Hamburg
Allemagne