Vai al contenuto principale della pagina

Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data



(Visualizza in formato marc)    (Visualizza in BIBFRAME)

Autore: Swanson Norman R Visualizza persona
Titolo: Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data Visualizza cluster
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&amp
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  Visualizza cluster
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