Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data
Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data
English[eng]
9783040000000
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
English[eng]
9783040000000
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