Forecasting high-frequency volatility shocks: an analytical real-time monitoring system
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Wiesbaden
Springer Gabler
[2016]
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| Schlagworte: | |
| Online-Zugang: | BTU01 FAB01 FHA01 FHI01 FHM01 FHN01 FHR01 FKE01 FNU01 FRO01 FWS01 FWS02 HTW01 HWR01 TUBA1 UBG01 UBT01 UBY01 UEI01 UER01 UPA01 Volltext Abstract Inhaltsverzeichnis |
| Beschreibung: | 1 Online Ressource (XXIX, 171 Seiten) Illustrationen |
| ISBN: | 9783658125967 |
| DOI: | 10.1007/978-3-658-12596-7 |
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Datensatz im Suchindex
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| adam_text | FORECASTING HIGH-FREQUENCY VOLATILITY SHOCKS
/ KOEMM, HOLGER
: 2016
ABSTRACT / INHALTSTEXT
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 KOEMM
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 KOEMM IS RESEARCH ASSOCIATE AT THE CHAIR OF
STATISTICS AND QUANTITATIVE METHODS IN THE ECONOMICS & BUSINESS
DEPARTMENT OF THE CATHOLIC UNIVERSITY EICHSTAETT-INGOLSTADT.
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
FORECASTING HIGH-FREQUENCY VOLATILITY SHOCKS
/ KOEMM, HOLGER
: 2016
TABLE OF CONTENTS / INHALTSVERZEICHNIS
INTEGRATED VOLATILITY
ZERO-INFLATED DATA GENERATION PROCESSES
ALGORITHMIC TEXT FORECASTING
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
| author | Kömm, Holger |
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| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-658-12596-7 |
| format | Thesis Electronic eBook |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV043422727 |
| illustrated | Not Illustrated |
| indexdate | 2024-08-01T12:13:02Z |
| institution | BVB |
| isbn | 9783658125967 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028840620 |
| oclc_num | 946550139 |
| open_access_boolean | |
| owner | DE-523 DE-83 DE-1043 DE-Aug4 DE-898 DE-BY-UBR DE-1049 DE-859 DE-473 DE-BY-UBG DE-29 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-2070s DE-573 DE-M347 DE-703 DE-739 DE-634 DE-861 DE-706 |
| owner_facet | DE-523 DE-83 DE-1043 DE-Aug4 DE-898 DE-BY-UBR DE-1049 DE-859 DE-473 DE-BY-UBG DE-29 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-2070s DE-573 DE-M347 DE-703 DE-739 DE-634 DE-861 DE-706 |
| physical | 1 Online Ressource (XXIX, 171 Seiten) Illustrationen |
| psigel | ZDB-2-ECF ZDB-2-ECF_2016 |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Springer Gabler |
| record_format | marc |
| spellingShingle | Kömm, Holger Forecasting high-frequency volatility shocks an analytical real-time monitoring system Economic theory Macroeconomics Economic policy Economics Macroeconomics/Monetary Economics//Financial Economics R & D/Technology Policy Economic Theory/Quantitative Economics/Mathematical Methods Wirtschaft Wirtschaftspolitik Wirtschaftsinformation (DE-588)4431208-8 gnd Wertpapierhandelssystem (DE-588)4510686-1 gnd Prognoseverfahren (DE-588)4358095-6 gnd Volatilität (DE-588)4268390-7 gnd Börsenkurs (DE-588)4375974-9 gnd |
| subject_GND | (DE-588)4431208-8 (DE-588)4510686-1 (DE-588)4358095-6 (DE-588)4268390-7 (DE-588)4375974-9 (DE-588)4113937-9 |
| title | Forecasting high-frequency volatility shocks an analytical real-time monitoring system |
| title_auth | Forecasting high-frequency volatility shocks an analytical real-time monitoring system |
| title_exact_search | Forecasting high-frequency volatility shocks an analytical real-time monitoring system |
| title_full | Forecasting high-frequency volatility shocks an analytical real-time monitoring system Holger Kömm |
| title_fullStr | Forecasting high-frequency volatility shocks an analytical real-time monitoring system Holger Kömm |
| title_full_unstemmed | Forecasting high-frequency volatility shocks an analytical real-time monitoring system Holger Kömm |
| title_short | Forecasting high-frequency volatility shocks |
| title_sort | forecasting high frequency volatility shocks an analytical real time monitoring system |
| title_sub | an analytical real-time monitoring system |
| topic | Economic theory Macroeconomics Economic policy Economics Macroeconomics/Monetary Economics//Financial Economics R & D/Technology Policy Economic Theory/Quantitative Economics/Mathematical Methods Wirtschaft Wirtschaftspolitik Wirtschaftsinformation (DE-588)4431208-8 gnd Wertpapierhandelssystem (DE-588)4510686-1 gnd Prognoseverfahren (DE-588)4358095-6 gnd Volatilität (DE-588)4268390-7 gnd Börsenkurs (DE-588)4375974-9 gnd |
| topic_facet | Economic theory Macroeconomics Economic policy Economics Macroeconomics/Monetary Economics//Financial Economics R & D/Technology Policy Economic Theory/Quantitative Economics/Mathematical Methods Wirtschaft Wirtschaftspolitik Wirtschaftsinformation Wertpapierhandelssystem Prognoseverfahren Volatilität Börsenkurs Hochschulschrift |
| url | https://doi.org/10.1007/978-3-658-12596-7 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028840620&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028840620&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT kommholger forecastinghighfrequencyvolatilityshocksananalyticalrealtimemonitoringsystem |