Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data
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ArticleLanguage: English Publication details: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2021Description: 1 electronic resource (196 p.)ISBN: - books978-3-0365-0853-5
- 9783036508528
- 9783036508535
- Economics, finance, business & management
- 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
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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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