readme.ckm.txt
Creators:
Laurent Callot
;
Anders Bredahl Kock
;
Marcelo C. Medeiros
From the dataset abstract
We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality and...
Source: Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice (replication data)
Metadata
| Field | Value |
|---|---|
| Format | text/plain |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/48ca1739-cd5b-4c8a-85e5-957f3dc7eb6f/resource/448ac1b9-84c1-496c-8b2e-9075f6a2e6db/download/readme.ckm.txt |
| Last updated | November 8, 2022 |
| Created | November 8, 2022 |
