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...
সংরক্ষণ করুন:
| বিন্যাস: | Online |
|---|---|
| ভাষা: | ইংরেজি |
| প্রকাশিত: |
MDPI - Multidisciplinary Digital Publishing Institute
2022
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| বিষয়গুলি: | |
| অনলাইন ব্যবহার করুন: | ONIX_20220111_9783036508528_251 |
| ট্যাগগুলো: |
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| _version_ | 1869516979313836032 |
|---|---|
| collection | Directory of Open Access Books |
| description | 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. |
| format | Online |
| id | doab-20.500.12854ir-76515 |
| institution | Directory of Open Access Books |
| language | eng |
| publishDate | 2022 |
| publishDateRange | 2022 |
| publishDateSort | 2022 |
| publisher | MDPI - Multidisciplinary Digital Publishing Institute |
| publisherStr | MDPI - Multidisciplinary Digital Publishing Institute |
| record_format | ojs |
| spelling | doab-20.500.12854ir-765152024-03-29T19:31:02Z Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data Swanson, Norman R. Yang, Xiye 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 thema EDItEUR::K Economics, Finance, Business and Management 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. 2022-01-11T13:34:15Z 2022-01-11T13:34:15Z 2021 book ONIX_20220111_9783036508528_251 9783036508528 9783036508535 https://directory.doabooks.org/handle/20.500.12854/76515 eng image/jpeg Attribution 4.0 International https://mdpi.com/books/pdfview/book/3961 https://mdpi.com/books/pdfview/book/3961 MDPI - Multidisciplinary Digital Publishing Institute 10.3390/books978-3-0365-0853-5 10.3390/books978-3-0365-0853-5 46cabcaa-dd94-4bfe-87b4-55023c1b36d0 9783036508528 9783036508535 196 Basel, Switzerland open access |
| spellingShingle | 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 thema EDItEUR::K Economics, Finance, Business and Management Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
| title | 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_short | 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 |
| topic | 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 thema EDItEUR::K Economics, Finance, Business and Management |
| topic_facet | 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 thema EDItEUR::K Economics, Finance, Business and Management |
| url | ONIX_20220111_9783036508528_251 |