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020 _a9783658125967
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024 7 _a10.1007/978-3-658-12596-7
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082 0 4 _a339
100 1 _aKömm, Holger.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
245 1 0 _aForecasting High-Frequency Volatility Shocks
_h[electronic resource] :
_bAn Analytical Real-Time Monitoring System /
_cby Holger Kömm.
250 _a1st ed. 2016.
264 1 _aWiesbaden :
_bSpringer Fachmedien Wiesbaden :
_bImprint: Springer Gabler,
_c2016.
300 _aXXIX, 171 p. 19 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
505 0 _aIntegrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting.
520 _aThis 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. Contents • Integrated Volatility • Zero-inflated Data Generation Processes • Algorithmic Text Forecasting Target Groups • Teachers and students of economic science with a focus on financial econometrics< • Executives and consultants in the field of business informatics and advanced statistics About the Author 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. .
650 0 _aMacroeconomics.
650 0 _aEconomic policy.
650 0 _aEconomic theory.
650 1 4 _aMacroeconomics/Monetary Economics//Financial Economics.
_0https://scigraph.springernature.com/ontologies/product-market-codes/W32000
650 2 4 _aR & D/Technology Policy.
_0https://scigraph.springernature.com/ontologies/product-market-codes/W43000
650 2 4 _aEconomic Theory/Quantitative Economics/Mathematical Methods.
_0https://scigraph.springernature.com/ontologies/product-market-codes/W29000
710 2 _aSpringerLink (Online service)
773 0 _tSpringer Nature eBook
776 0 8 _iPrinted edition:
_z9783658125950
776 0 8 _iPrinted edition:
_z9783658125974
856 4 0 _uhttps://s443-doi-org.br.lsproxy.net/10.1007/978-3-658-12596-7
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