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 Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimat...
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| Autor Corporativo: | |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler
2016.
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| Edición: | 1st ed. 2016. |
| Colección: | Springer eBooks.
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| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b36134181*spi |
Tabla de Contenidos:
- Integrated Volatility
- Zero-inflated Data Generation Processes
- Algorithmic Text Forecasting.
