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, |
|---|---|
| Other Authors: | SpringerLink (Online service) |
| Format: | eBook |
| Language: | English |
| Published: |
Fachmedien ; Wiesbaden :
Springer Gabler,
[2016]
|
| Physical Description: |
1 online resource (xxix, 171 pages). |
| Series: |
Springer Gabler research.
|
| Subjects: |
Table of Contents:
- Integrated Volatility
- Zero-inflated Data Generation Processes
- Algorithmic Text Forecasting.