ckm-data.zip
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)
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Metadata
| Field | Value |
|---|---|
| Format | application/zip |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/48ca1739-cd5b-4c8a-85e5-957f3dc7eb6f/resource/89eca40c-6edb-42c6-9759-be14bb0a9ea8/download/ckm-data.zip |
| Last updated | November 8, 2022 |
| Created | November 8, 2022 |
