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© 2016

Forecasting High-Frequency Volatility Shocks

An Analytical Real-Time Monitoring System

Book

Table of contents

  1. Front Matter
    Pages I-XXIX
  2. Holger Kömm
    Pages 1-9
  3. Holger Kömm
    Pages 11-28
  4. Holger Kömm
    Pages 29-46
  5. Holger Kömm
    Pages 47-64
  6. Holger Kömm
    Pages 65-86
  7. Holger Kömm
    Pages 87-97
  8. Holger Kömm
    Pages 99-121
  9. Holger Kömm
    Pages 123-146
  10. Holger Kömm
    Pages 147-153
  11. Back Matter
    Pages 155-171

About this book

Introduction

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.

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. 

Keywords

Integrated Volatility Zero-inflated Data Generation Processes Algorithmic Text Forecasting Monitoring Time Series and Textual Data

Authors and affiliations

  1. 1.Wirtschaftswissenschaftliche FakultätKath. Universität Eichstätt-IngolstadtIngolstadtGermany

About the authors

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. 

Bibliographic information

Industry Sectors
Finance, Business & Banking