Forecasting High Frequency Volatility Shocks is popular PDF and ePub book, written by Holger Kömm in 2016-02-08, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Forecasting High Frequency Volatility Shocks can be Read Online from any device for your convenience.
Forecasting High Frequency Volatility Shocks Book PDF Summary
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.
Detail Book of Forecasting High Frequency Volatility Shocks PDF
- Author : Holger Kömm
- Release : 08 February 2016
- Publisher : Springer
- ISBN : 9783658125967
- Genre : Business & Economics
- Total Page : 188 pages
- Language : English
- PDF File Size : 20,5 Mb
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