Forecasting high-frequency volatility shocks an analytical real-time monitoring system /
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 K©œmm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimat...
Main Author: | K箭m, Holger, |
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Other Authors: | SpringerLink (Online service) |
Format: | eBook |
Language: | English |
Published: |
Fachmedien ; Wiesbaden :
Springer Gabler,
[2016]
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Physical Description: |
1 online resource (xxix, 171 pages). |
Series: |
Springer Gabler research.
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Subjects: |
CMU Electronic Access
Electronic Resource Click HereLocation | Call Number: | Status |
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CMU Electronic Access | Available |