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Forecasting High-Frequency Volatility Shocks
Holger Komm
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Description for Forecasting High-Frequency Volatility Shocks
Paperback. Num Pages: 200 pages, 19 black & white illustrations, 17 black & white tables, biography. BIC Classification: KCA; KJMV6. Category: (P) Professional & Vocational. Dimension: 210 x 148 x 12. Weight in Grams: 274.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
2016
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
200
Condition
New
Number of Pages
171
Place of Publication
, Germany
ISBN
9783658125950
SKU
V9783658125950
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Holger Komm
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.
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