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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| Format: | Book Chapter |
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Basel, Switzerland
MDPI - Multidisciplinary Digital Publishing Institute
2021
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| Online Access: | Get Fullteks DOAB: description of the publication |
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| LEADER | 02816naaaa2200709uu 4500 | ||
|---|---|---|---|
| 001 | doab_20_500_12854_76515 | ||
| 005 | 20220111 | ||
| 020 | |a books978-3-0365-0853-5 | ||
| 020 | |a 9783036508528 | ||
| 020 | |a 9783036508535 | ||
| 024 | 7 | |a 10.3390/books978-3-0365-0853-5 |c doi | |
| 041 | 0 | |a English | |
| 042 | |a dc | ||
| 072 | 7 | |a K |2 bicssc | |
| 100 | 1 | |a Swanson, Norman R. |4 edt | |
| 700 | 1 | |a Yang, Xiye |4 edt | |
| 700 | 1 | |a Swanson, Norman R. |4 oth | |
| 700 | 1 | |a Yang, Xiye |4 oth | |
| 245 | 1 | 0 | |a Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
| 260 | |a Basel, Switzerland |b MDPI - Multidisciplinary Digital Publishing Institute |c 2021 | ||
| 300 | |a 1 electronic resource (196 p.) | ||
| 506 | 0 | |a Open Access |2 star |f Unrestricted online access | |
| 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. | ||
| 540 | |a Creative Commons |f https://creativecommons.org/licenses/by/4.0/ |2 cc |4 https://creativecommons.org/licenses/by/4.0/ | ||
| 546 | |a English | ||
| 650 | 7 | |a Economics, finance, business & management |2 bicssc | |
| 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& | ||
| 653 | |a P 500 | ||
| 653 | |a high-frequency | ||
| 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 | ||
| 856 | 4 | 0 | |a www.oapen.org |u https://mdpi.com/books/pdfview/book/3961 |7 0 |z Get Fullteks |
| 856 | 4 | 0 | |a www.oapen.org |u https://directory.doabooks.org/handle/20.500.12854/76515 |7 0 |z DOAB: description of the publication |