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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Библиографические подробности
Формат:	Online
Язык:	английский
Опубликовано:	MDPI - Multidisciplinary Digital Publishing Institute 2022
Предметы:	level, slope, and curvature of the yield curve Nelson-Siegel factors supervised factor models combining forecasts principal components Minimum variance portfolio risk shrinkage S&amp 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
Online-ссылка:	ONIX_20220111_9783036508528_251
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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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