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

<br/><br/><br/>English[eng] 
<br/><br/><label>ISBN: </label>9783040000000 
<br/><br/><label>Subjects--Topical Terms: </label><br/>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