Reprint
Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data
Edited by
June 2021
196 pages
- ISBN978-3-0365-0852-8 (Hardback)
- ISBN978-3-0365-0853-5 (PDF)
This book is a reprint of the Special Issue Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data that was published in
Business & Economics
Computer Science & Mathematics
Summary
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
- Hardback
License
© 2022 by the authors; CC BY-NC-ND license
Keywords
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; forecasting; 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