10_dim_realized_covar.csv
Creators:
Diaa Noureldin
;
Neil Shephard
;
Kevin Sheppard
From the dataset abstract
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from multivariate...
Source: Multivariate high-frequency-based volatility (HEAVY) models (replication data)
Metadata
| Field | Value |
|---|---|
| Format | text/csv |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/10836b46-694b-4c44-b460-fe1df21cae01/resource/43200d7b-be86-4f70-9ff3-85543ec8ae34/download/10_dim_realized_covar.csv |
| Last updated | November 4, 2022 |
| Created | November 4, 2022 |
