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 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