LIBROS DEL AUTOR: holger komm

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  • Forecasting High-Frequency Volatility Shocks
    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 switch...
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