Wentworth
Institute of Technology
Forecasting High-Frequency Volatility Shocks An Analytical Real-Time Monitoring System /
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 estimato...
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2016.
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| Edition: | 1st ed. 2016. |
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| Online Access: |
Full text (Wentworth users only) |