02858nam 2200757z- 450 991055789750332120231214133159.0(CKB)5400000000046305(oapen)https://directory.doabooks.org/handle/20.500.12854/76515(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 electronic 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 & managementbicssclevel, slope, and curvature of the yield curveNelson-Siegel factorssupervised factor modelscombining forecastsprincipal componentsMinimum variance portfolioriskshrinkageS&ampP 500high-frequencyvolatilityforecastingrealized measuresbivariate GARCHJapanese candlestickordered fuzzy numberKosiński’s numberoriented fuzzy numberdynamic analysis of securitiesintegrated volatilityhigh-frequency datajumpsrealized skewnesscross-sectional stock returnssigned jump variationlong-range dependencelog periodogram regressionsmoothed periodogramsubsamplingintraday returnsportfolio selectionmaximum diversificationregularizationEconomics, finance, business & managementSwanson Norman Redt293361Yang XiyeedtSwanson Norman RothYang XiyeothBOOK9910557897503321Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data3037166UNINA