Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System by Holger KömmForecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System by Holger Kömm

Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring System

byHolger Kömm

Paperback | February 16, 2016

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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 nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX.
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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Title:Forecasting High-Frequency Volatility Shocks: An Analytical Real-Time Monitoring SystemFormat:PaperbackDimensions:171 pages, 21 × 14.8 × 0.02 inPublished:February 16, 2016Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3658125950

ISBN - 13:9783658125950

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Table of Contents

Integrated Volatility.- Zero-inflated Data Generation Processes.- Algorithmic Text Forecasting.