Download Forecasting High-Frequency Volatility Shocks: An Analytical by Holger Kömm PDF

By Holger Kömm

This thesis offers a brand new procedure that unites qualitative and quantitative mass information in type of textual content information and tick-by-tick asset costs to forecast the danger of upcoming volatility shocks. Holger Kömm embeds the proposed approach in a tracking process, utilizing first, a series of competing estimators to compute the unobservable volatility; moment, a brand new two-state Markov switching combination version for autoregressive and zero-inflated time-series to spot structural breaks in a latent information iteration strategy and 3rd, a range of competing development reputation algorithms to categorise the aptitude info embedded in unforeseen, yet public observable textual content facts in surprise and nonshock details. The visual display unit is informed, demonstrated, and evaluated on a yr survey at the top commonplace resources indexed within the indices DAX, MDAX, SDAX and TecDAX.

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