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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Swanson, Norman R. edt Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2021 1 electronic resource (196 p.) text txt rdacontent computer c rdamedia online resource cr rdacarrier 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. English Economics, finance, business & management bicssc 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 3-0365-0852-X 3-0365-0853-8 Yang, Xiye edt Swanson, Norman R. oth Yang, Xiye oth |
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English |
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eBook |
author2 |
Yang, Xiye Swanson, Norman R. Yang, Xiye |
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Yang, Xiye Swanson, Norman R. Yang, Xiye |
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HerausgeberIn Sonstige Sonstige |
title |
Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
spellingShingle |
Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
title_full |
Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
title_fullStr |
Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
title_full_unstemmed |
Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
title_auth |
Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
title_new |
Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
title_sort |
recent advances in theory and methods for the analysis of high dimensional and high frequency financial data |
publisher |
MDPI - Multidisciplinary Digital Publishing Institute |
publishDate |
2021 |
physical |
1 electronic resource (196 p.) |
isbn |
3-0365-0852-X 3-0365-0853-8 |
illustrated |
Not Illustrated |
work_keys_str_mv |
AT swansonnormanr recentadvancesintheoryandmethodsfortheanalysisofhighdimensionalandhighfrequencyfinancialdata AT yangxiye recentadvancesintheoryandmethodsfortheanalysisofhighdimensionalandhighfrequencyfinancialdata |
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(CKB)5400000000046305 (oapen)https://directory.doabooks.org/handle/20.500.12854/76515 (EXLCZ)995400000000046305 |
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Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
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