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

• Main Author: Kömm, Holger (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2016.
• Edition: 1st ed. 2016.
• Subjects: Economic theory.; Macroeconomics.; Economic policy.; Economics.; Macroeconomics/Monetary Economics//Financial Economics.; R & D/Technology Policy.; Economic Theory/Quantitative Economics/Mathematical Methods.

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 estimato...