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Asset pricing, investment, and trading strategies are very important in finance. They are useful in various situations, for example, supporting the decision-making process of choosing investments; determining the asset-specific required rate of return on the investment; pricing derivatives for trading or hedging; getting portfolios from fixed incomes or bonds, stocks, and other assets; evaluating diverse portfolios; determining macroeconomic variables affecting market prices; calculating option prices; and incorporating features such as mean reversion and volatility, etc. They can also be applied in financial forecast for assets, portfolios, business projects.Understanding, modeling, and using various asset pricing models, investment models, and models for different trading strategies is paramount in many different areas of finance and investment, including banking, stocks, bonds, currencies, and related financial derivatives. Different asset pricing models, investment models, and models for different trading strategies also allow us to compare the performances of different variables through the analysis of empirical real-world data.This Special Issue on "Asset Pricing, Investment, and Trading Strategies” will be devoted to advancements in the theoretical development of various asset pricing models, investment models, and models for different trading strategies as well as to their applications.The Special Issue will encompass innovative theoretical developments, challenging and exciting practical applications, and interesting case studies in the development and analysis of various asset pricing models, investment models, and models for different trading strategies in finance and cognate disciplines.
Development economics & emerging economies --- quantile --- correlogram --- dependence --- predictability --- market efficiency --- state ownership --- risk-taking behavior --- investment --- Vietnam --- GMM --- nonlinearity --- trading strategy --- trade-offs --- transport operations --- competitiveness --- sustainability --- growth --- ARDL --- stock exchange --- capitalization --- turnover --- value traded --- agricultural commodity future prices --- extreme value --- NON-stationary Extreme Value Analysis (NEVA) --- Newton-optimal method --- high-frequency data --- market liquidity --- sovereign bonds --- spillover --- backwardation --- economic regimes --- momentum strategy --- systematic trading --- jumps identification --- swap variance --- integrated volatility --- realized volatility --- quantile --- correlogram --- dependence --- predictability --- market efficiency --- state ownership --- risk-taking behavior --- investment --- Vietnam --- GMM --- nonlinearity --- trading strategy --- trade-offs --- transport operations --- competitiveness --- sustainability --- growth --- ARDL --- stock exchange --- capitalization --- turnover --- value traded --- agricultural commodity future prices --- extreme value --- NON-stationary Extreme Value Analysis (NEVA) --- Newton-optimal method --- high-frequency data --- market liquidity --- sovereign bonds --- spillover --- backwardation --- economic regimes --- momentum strategy --- systematic trading --- jumps identification --- swap variance --- integrated volatility --- realized volatility
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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.
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
Choose an application
Asset pricing, investment, and trading strategies are very important in finance. They are useful in various situations, for example, supporting the decision-making process of choosing investments; determining the asset-specific required rate of return on the investment; pricing derivatives for trading or hedging; getting portfolios from fixed incomes or bonds, stocks, and other assets; evaluating diverse portfolios; determining macroeconomic variables affecting market prices; calculating option prices; and incorporating features such as mean reversion and volatility, etc. They can also be applied in financial forecast for assets, portfolios, business projects.Understanding, modeling, and using various asset pricing models, investment models, and models for different trading strategies is paramount in many different areas of finance and investment, including banking, stocks, bonds, currencies, and related financial derivatives. Different asset pricing models, investment models, and models for different trading strategies also allow us to compare the performances of different variables through the analysis of empirical real-world data.This Special Issue on "Asset Pricing, Investment, and Trading Strategies” will be devoted to advancements in the theoretical development of various asset pricing models, investment models, and models for different trading strategies as well as to their applications.The Special Issue will encompass innovative theoretical developments, challenging and exciting practical applications, and interesting case studies in the development and analysis of various asset pricing models, investment models, and models for different trading strategies in finance and cognate disciplines.
quantile --- correlogram --- dependence --- predictability --- market efficiency --- state ownership --- risk-taking behavior --- investment --- Vietnam --- GMM --- nonlinearity --- trading strategy --- trade-offs --- transport operations --- competitiveness --- sustainability --- growth --- ARDL --- stock exchange --- capitalization --- turnover --- value traded --- agricultural commodity future prices --- extreme value --- NON-stationary Extreme Value Analysis (NEVA) --- Newton-optimal method --- high-frequency data --- market liquidity --- sovereign bonds --- spillover --- backwardation --- economic regimes --- momentum strategy --- systematic trading --- jumps identification --- swap variance --- integrated volatility --- realized volatility
Choose an application
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.
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 --- 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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