Asset Pricing, Investment, and Trading Strategies |
Autore | Wong Wing-Keung |
Pubbl/distr/stampa | Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 |
Descrizione fisica | 1 electronic resource (154 p.) |
Soggetto topico | Development economics & emerging economies |
Soggetto non controllato |
quantile
correlogram dependence predictability market efficiency state ownership risk-taking behavior investment Vietnam GMM nonlinearity trading strategy trade-offs transport operations competitiveness sustainability growth ARDL stock exchange capitalization turnover value traded agricultural commodity future prices extreme value NON-stationary Extreme Value Analysis (NEVA) Newton-optimal method high-frequency data market liquidity sovereign bonds spillover backwardation economic regimes momentum strategy systematic trading jumps identification swap variance integrated volatility realized volatility |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910557610603321 |
Wong Wing-Keung
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Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 | ||
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Lo trovi qui: Univ. Federico II | ||
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Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
Autore | Swanson Norman R |
Pubbl/distr/stampa | 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 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910557897503321 |
Swanson Norman R
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Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 | ||
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Lo trovi qui: Univ. Federico II | ||
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