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

• Κύριος συγγραφέας: Kömm, Holger (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2016.
• Έκδοση: 1st ed. 2016.
• Θέματα: 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...

Πίνακας περιεχομένων:

• Integrated Volatility
• Zero-inflated Data Generation Processes
• Algorithmic Text Forecasting.