blocked8.7z
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...
There are no views created for this resource yet.
Metadata
| Field | Value |
|---|---|
| Format | 7z |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/2baa4c6d-8d4d-4b3c-9fa8-0fbd76c9dd0b/resource/9de01395-91e0-4e2d-b7c7-ca1ca82c8513/download/blocked8.7z |
| Last updated | November 4, 2022 |
| Created | November 4, 2022 |
