Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data
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 d...
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| Year of Publication: | 2021 |
| Language: | English |
| Physical Description: | 1 electronic resource (196 p.) |
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| 100 | 1 | |a Swanson, Norman R. |4 edt | |
| 245 | 1 | 0 | |a Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
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| 520 | |a 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. | ||
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| 653 | |a level, slope, and curvature of the yield curve | ||
| 653 | |a Nelson-Siegel factors | ||
| 653 | |a supervised factor models | ||
| 653 | |a combining forecasts | ||
| 653 | |a principal components | ||
| 653 | |a Minimum variance portfolio | ||
| 653 | |a risk | ||
| 653 | |a shrinkage | ||
| 653 | |a S& | ||
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| 653 | |a volatility | ||
| 653 | |a forecasting | ||
| 653 | |a realized measures | ||
| 653 | |a bivariate GARCH | ||
| 653 | |a Japanese candlestick | ||
| 653 | |a ordered fuzzy number | ||
| 653 | |a Kosiński’s number | ||
| 653 | |a oriented fuzzy number | ||
| 653 | |a dynamic analysis of securities | ||
| 653 | |a integrated volatility | ||
| 653 | |a high-frequency data | ||
| 653 | |a jumps | ||
| 653 | |a realized skewness | ||
| 653 | |a cross-sectional stock returns | ||
| 653 | |a signed jump variation | ||
| 653 | |a long-range dependence | ||
| 653 | |a log periodogram regression | ||
| 653 | |a smoothed periodogram | ||
| 653 | |a subsampling | ||
| 653 | |a intraday returns | ||
| 653 | |a portfolio selection | ||
| 653 | |a maximum diversification | ||
| 653 | |a regularization | ||
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| 700 | 1 | |a Yang, Xiye |4 edt | |
| 700 | 1 | |a Swanson, Norman R. |4 oth | |
| 700 | 1 | |a Yang, Xiye |4 oth | |
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