02878nam 2200769z- 450 991055789750332120220111(CKB)5400000000046305(oapen)https://directory.doabooks.org/handle/20.500.12854/76515(oapen)doab76515(EXLCZ)99540000000004630520202201d2021 |y 0engurmn|---annantxtrdacontentcrdamediacrrdacarrierRecent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial DataBasel, SwitzerlandMDPI - Multidisciplinary Digital Publishing Institute20211 online resource (196 p.)3-0365-0852-X 3-0365-0853-8 Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.Economics, Finance, Business and Managementbicsscbivariate GARCHcombining forecastscross-sectional stock returnsdynamic analysis of securitiesforecastinghigh-frequencyhigh-frequency dataintegrated volatilityintraday returnsJapanese candlestickjumpsKosiński's numberlevel, slope, and curvature of the yield curvelog periodogram regressionlong-range dependencemaximum diversificationMinimum variance portfolioNelson-Siegel factorsordered fuzzy numberoriented fuzzy numberP 500portfolio selectionprincipal componentsrealized measuresrealized skewnessregularizationriskS&ampshrinkagesigned jump variationsmoothed periodogramsubsamplingsupervised factor modelsvolatilityEconomics, Finance, Business and ManagementSwanson Norman Redt293361Yang XiyeedtSwanson Norman RothYang XiyeothBOOK9910557897503321Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data3037166UNINA