blocked1.7z
Creators:
Nikolaus Hautsch
;
Lada M. Kyj
;
Roel C. A. Oomen
From the dataset abstract
We introduce a blocking and regularization approach to estimate high-dimensional covariances using high-frequency data. Assets are first grouped according to liquidity. Using the...
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Metadata
| Field | Value |
|---|---|
| Format | 7z |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/2baa4c6d-8d4d-4b3c-9fa8-0fbd76c9dd0b/resource/2981ad83-5567-4aa8-be3d-c01e5305d7c1/download/blocked1.7z |
| Last updated | November 4, 2022 |
| Created | November 4, 2022 |
