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Found 1 from your keywords: author=Holger Kömm
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Forecasting High-Frequency Volatility Shocks
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Holger Kömm

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 mode…

Edition
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ISBN/ISSN
978-3-658-12596-7
Collation
XXIX, 171 hlm.
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