do high-frequency data improve high-dimensional portfolio allocations? (replication data)
Data and Resources
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readme.hkm.txt
TXT
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BRKCorr1.7z
7z
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BRKCorr10.7z
7z
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BRKCorr2.7z
7z
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BRKCorr4.7z
7z
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BRKCorr8.7z
7z
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Hautsch-Kyj-Malec-appendix.pdf
PDF
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ClosePrice.txt
TXT
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NRft10.txt
TXT
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NRft1.txt
TXT
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NRft2.txt
TXT
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NRft4.txt
TXT
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NRft8.txt
TXT
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OpenPrice.txt
TXT
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RKVar.txt
TXT
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SPXLiquIndx.txt
TXT
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SPXTickL.txt
TXT
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RCov5Min.7z
7z
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