Forecasting High-Frequency Volatility Shocks
Holger Kömm
Broschiertes Buch

Forecasting High-Frequency Volatility Shocks

An Analytical Real-Time Monitoring System

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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 pot...