Asymmetry and nonlinearity in forecasting multivariate stock market volatility:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Augsburg
2015
|
| Schlagworte: | |
| Online-Zugang: | https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-34176 kostenfrei Inhaltsverzeichnis |
| Beschreibung: | i, 44 Seiten Diagramme |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV043417012 | ||
| 003 | DE-604 | ||
| 005 | 20160413 | ||
| 007 | t | ||
| 008 | 160229s2015 gw |||| m||| 00||| eng d | ||
| 035 | |a (OCoLC)958239837 | ||
| 035 | |a (DE-599)BVBBV043417012 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c XA-DE | ||
| 049 | |a DE-384 | ||
| 084 | |a QH 237 |0 (DE-625)141552: |2 rvk | ||
| 100 | 1 | |a Heiden, Moritz Daniel |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Asymmetry and nonlinearity in forecasting multivariate stock market volatility |c vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden |
| 264 | 1 | |a Augsburg |c 2015 | |
| 300 | |a i, 44 Seiten |b Diagramme | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |b Dissertation |c Universität Augsburg |d 2015 | ||
| 650 | 0 | 7 | |a Prognoseverfahren |0 (DE-588)4358095-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Volatilität |0 (DE-588)4268390-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kopula |g Mathematik |0 (DE-588)4529954-7 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Kopula |g Mathematik |0 (DE-588)4529954-7 |D s |
| 689 | 0 | 1 | |a Prognoseverfahren |0 (DE-588)4358095-6 |D s |
| 689 | 0 | 2 | |a Volatilität |0 (DE-588)4268390-7 |D s |
| 689 | 0 | |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |o urn:nbn:de:bvb:384-opus4-34176 |
| 856 | 4 | |u https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-34176 |x Resolving-System | |
| 856 | 4 | 1 | |u https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/3417 |x Verlag |z kostenfrei |3 Volltext |
| 856 | 4 | 2 | |m Digitalisierung UB Augsburg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028835101&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 912 | |a ebook | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028835101 | ||
Datensatz im Suchindex
| _version_ | 1804176008800108544 |
|---|---|
| adam_text | Contents
Contents i
1 Introduction 1
1.1 Decompositions of the realized covariance matrix.......................... 3
1.2 A vine copula approach for predicting multivariate realized volatility ... 5
1.3 Investor attention and stock market volatility............................ 7
2 Article 1: Pitfalls of the Cholesky decomposition for forecasting mul-
tivariate volatility 14
2.1 Introduction............................................................. 15
2.2 Decomposition of the realized covariance matrix.......................... 17
2.2.1 Cholesky decomposition............................................. 18
2.2.2 Matrix exponential transformation...................................19
2.2.3 HAR model...........................................................20
2.2.4 Forecasting and bias correction.....................................22
2.2.5 Loss functions and the MCS..........................................23
2.3 Empirical study...........................................................25
2.3.1 Data and descriptive statistics ....................................25
2.3.2 Optimal odering.....................................................27
2.3.3 Modeling and forecasting procedure..................................28
2.3.4 Statistically testing forecast performance..........................31
2.4 Conclusion ...............................................................32
Appendix 33
3 Article 2: A multivariate volatility vine copula model 39
4 Article 3: Forecasting volatility with empirical similarity and Google
Trends 40
5 Summary and outlook
41
|
| any_adam_object | 1 |
| author | Heiden, Moritz Daniel |
| author_facet | Heiden, Moritz Daniel |
| author_role | aut |
| author_sort | Heiden, Moritz Daniel |
| author_variant | m d h md mdh |
| building | Verbundindex |
| bvnumber | BV043417012 |
| classification_rvk | QH 237 |
| collection | ebook |
| ctrlnum | (OCoLC)958239837 (DE-599)BVBBV043417012 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01929nam a2200433 c 4500</leader><controlfield tag="001">BV043417012</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20160413 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">160229s2015 gw |||| m||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)958239837</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043417012</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-384</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 237</subfield><subfield code="0">(DE-625)141552:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Heiden, Moritz Daniel</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Asymmetry and nonlinearity in forecasting multivariate stock market volatility</subfield><subfield code="c">vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Augsburg</subfield><subfield code="c">2015</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">i, 44 Seiten</subfield><subfield code="b">Diagramme</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="b">Dissertation</subfield><subfield code="c">Universität Augsburg</subfield><subfield code="d">2015</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Prognoseverfahren</subfield><subfield code="0">(DE-588)4358095-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kopula</subfield><subfield code="g">Mathematik</subfield><subfield code="0">(DE-588)4529954-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kopula</subfield><subfield code="g">Mathematik</subfield><subfield code="0">(DE-588)4529954-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Prognoseverfahren</subfield><subfield code="0">(DE-588)4358095-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield><subfield code="o">urn:nbn:de:bvb:384-opus4-34176</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-34176</subfield><subfield code="x">Resolving-System</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/3417</subfield><subfield code="x">Verlag</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Augsburg - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028835101&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ebook</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028835101</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV043417012 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:25:21Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028835101 |
| oclc_num | 958239837 |
| open_access_boolean | 1 |
| owner | DE-384 |
| owner_facet | DE-384 |
| physical | i, 44 Seiten Diagramme |
| psigel | ebook |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| record_format | marc |
| spelling | Heiden, Moritz Daniel Verfasser aut Asymmetry and nonlinearity in forecasting multivariate stock market volatility vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden Augsburg 2015 i, 44 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Dissertation Universität Augsburg 2015 Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kopula Mathematik (DE-588)4529954-7 s Prognoseverfahren (DE-588)4358095-6 s Volatilität (DE-588)4268390-7 s DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:384-opus4-34176 https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-34176 Resolving-System https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/3417 Verlag kostenfrei Volltext Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028835101&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Heiden, Moritz Daniel Asymmetry and nonlinearity in forecasting multivariate stock market volatility Prognoseverfahren (DE-588)4358095-6 gnd Volatilität (DE-588)4268390-7 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| subject_GND | (DE-588)4358095-6 (DE-588)4268390-7 (DE-588)4529954-7 (DE-588)4113937-9 |
| title | Asymmetry and nonlinearity in forecasting multivariate stock market volatility |
| title_auth | Asymmetry and nonlinearity in forecasting multivariate stock market volatility |
| title_exact_search | Asymmetry and nonlinearity in forecasting multivariate stock market volatility |
| title_full | Asymmetry and nonlinearity in forecasting multivariate stock market volatility vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden |
| title_fullStr | Asymmetry and nonlinearity in forecasting multivariate stock market volatility vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden |
| title_full_unstemmed | Asymmetry and nonlinearity in forecasting multivariate stock market volatility vorgelegt von Herrn Dipl. Finanzökonom math. Moritz Daniel Heiden |
| title_short | Asymmetry and nonlinearity in forecasting multivariate stock market volatility |
| title_sort | asymmetry and nonlinearity in forecasting multivariate stock market volatility |
| topic | Prognoseverfahren (DE-588)4358095-6 gnd Volatilität (DE-588)4268390-7 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| topic_facet | Prognoseverfahren Volatilität Kopula Mathematik Hochschulschrift |
| url | https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-34176 https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/3417 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028835101&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT heidenmoritzdaniel asymmetryandnonlinearityinforecastingmultivariatestockmarketvolatility |