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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