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Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System
Kömm, Holger - 2016 - 1st ed. 2016
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...
Persistent link: https://www.econbiz.de/10014018810
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Forecasting high-frequency volatility shocks : an analytical real-time monitoring system
Kömm, Holger - 2016 - 1st ed. 2016
Persistent link: https://www.econbiz.de/10011411472
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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Novel advancements in the Markov chain stock model : analysis and inference
Barbu, Vlad Stefan; D'Amico, Guglielmo; De Blasis, Riccardo - In: Annals of finance 13 (2017) 2, pp. 125-152
Persistent link: https://www.econbiz.de/10011944970
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An alternative to p-values in hypothesis testing with applications in model selection of stock price data
Tran, Hien D.; Nguyen, Son P.; Le, Hoa T.; Pham, Uyen H. - In: Robustness in econometrics, (pp. 305-319). 2017
Persistent link: https://www.econbiz.de/10011801354
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A further test of the influence of leading indicators on the probability of US business cycle phase shifts
Layton, Allan P. - In: International journal of forecasting 14 (1998) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10001242432
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Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods
Lillestøl, Jostein - 2000
Persistent link: https://www.econbiz.de/10001582162
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Decomposing the predictive performance of the moving average trading rule of technical analysis : the contribution of linear and non linear dependencies in stock returns
Milionis, Alexandros E.; Papanagiotou, Evangelia - 2011
Persistent link: https://www.econbiz.de/10009387932
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Decomposing the predictive performance of the moving average trading rule of technical analysis : the contribution of linear and non linear dependencies in stock returns
Milionis, Alexandros E.; Papanagiotou, Evangelia - 2022
is to decompose the predictive power of the moving average trading rule and isolate the portion that could be attributed … correlation. Applying moving average trading rules to both the original and the simulated indices and using a statistical testing … procedure that takes into account the sensitivity of the performance of the trading rule as a function of moving average length …
Persistent link: https://www.econbiz.de/10013403947