-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring …Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. … system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two …

Ausweitung auf die 10-Schritt-Prognose, auf die multivariate Betrachtungsweise und die Einbeziehung von Simulationsverfahren. Die …

Zinsstrukturtheorie. Diese ermöglicht eine umfassende Erklärung der Determinanten sowie eine bessere Prognose der Zinsstruktur. Die …

Volatility -- 9. Multivariate Time series -- 10. Estimation of Covariance Function -- 11. VARMA Processes -- 12. Estimation of …, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance … presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the …

The field of financial econometrics has exploded over the last decade. This book represents an integration of theory …'s Program in Computational Finance. He regularly teaches courses on econometric theory, financial econometrics and time series … leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics …

Chapter 1: Why do we forecast? -- Chapter 2: Regression Analysis and Forecasting Models -- Chapter 3: An Introduction …

entscheidungsnützliche Prognose zu bilden bzw. durch Ableiten eines Sollobjekts zu bestätigen. Die Prognosebildung lässt sich in die vier …