Kömm Holger (15 results)

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Condition: New. In English.

Condition: New. pp. 171.

Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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.…

Paperback. Condition: Brand New. 204 pages. 8.00x5.75x0.50 inches. In Stock.

Taschenbuch. Condition: Neu. Forecasting High-Frequency Volatility Shocks | An Analytical Real-Time Monitoring System | Holger Kömm | Taschenbuch | xxix | Englisch | 2016 | Springer VS | EAN 9783658125950 | Verantwortliche Person für die EU: Springer Gabler in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. …

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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 204 pp. Englisch.…

Condition: New. Print on Demand pp. 171.

Condition: New. PRINT ON DEMAND pp. 171.

Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Dr. Holger Koemm is research associate at the chair of statistics and quantitative methods in the economics &amp business department of the Catholic University Eichstaett-Ingolstadt.&nbspIntegrated Volatility.-&nbspZero-inflated Data Generation Pr.…

Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer-Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 204 pp. Englisch.…