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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 estimato...

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Main Author: Kömm, Holger. (Author, http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Language:English
Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2016.
Edition:1st ed. 2016.
Subjects:
Macroeconomics.
Economic policy.
Economic theory.
Macroeconomics/Monetary Economics//Financial Economics.
R & D/Technology Policy.
Economic Theory/Quantitative Economics/Mathematical Methods.
Online Access:https://doi.org/10.1007/978-3-658-12596-7

Internet

https://doi.org/10.1007/978-3-658-12596-7

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