Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data

• Ētahi atu kaituhi: Swanson, Norman R. (Editor), Yang, Xiye (Editor)
• Hōputu: Tāhiko Wāhanga pukapuka
• Reo: Ingarihi
• I whakaputaina: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2021
• Ngā marau: 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
• Urunga tuihono: DOAB: download the publication; DOAB: description of the publication

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...