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

• Autore: Swanson Norman R
• Pubblicazione: Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021
• Descrizione fisica: 1 online resource (196 p.)
• Soggetto topico: Economics, Finance, Business and Management
• Soggetto non controllato: bivariate GARCH; combining forecasts; cross-sectional stock returns; dynamic analysis of securities; forecasting; high-frequency; high-frequency data; integrated volatility; intraday returns; Japanese candlestick; jumps; Kosiński's number; level, slope, and curvature of the yield curve; log periodogram regression; long-range dependence; maximum diversification; Minimum variance portfolio; Nelson-Siegel factors; ordered fuzzy number; oriented fuzzy number; P 500; portfolio selection; principal components; realized measures; realized skewness; regularization; risk; S& shrinkage; signed jump variation; smoothed periodogram; subsampling; supervised factor models; volatility
• 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