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Autore: | Swanson Norman R |
Titolo: | Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
Pubblicazione: | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 |
Descrizione fisica: | 1 electronic resource (196 p.) |
Soggetto topico: | Economics, finance, business & management |
Soggetto non controllato: | level, slope, and curvature of the yield curve |
Nelson-Siegel factors | |
supervised factor models | |
combining forecasts | |
principal components | |
Minimum variance portfolio | |
risk | |
shrinkage | |
S& | |
P 500 | |
high-frequency | |
volatility | |
forecasting | |
realized measures | |
bivariate GARCH | |
Japanese candlestick | |
ordered fuzzy number | |
Kosiński’s number | |
oriented fuzzy number | |
dynamic analysis of securities | |
integrated volatility | |
high-frequency data | |
jumps | |
realized skewness | |
cross-sectional stock returns | |
signed jump variation | |
long-range dependence | |
log periodogram regression | |
smoothed periodogram | |
subsampling | |
intraday returns | |
portfolio selection | |
maximum diversification | |
regularization | |
Persona (resp. second.): | YangXiye |
SwansonNorman R | |
Sommario/riassunto: | 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. |
Titolo autorizzato: | Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
Formato: | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910557897503321 |
Lo trovi qui: | Univ. Federico II |
Opac: | Controlla la disponibilità qui |