readme.hko.txt
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...
Metadata
| Field | Value |
|---|---|
| Format | text/plain |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/b9d10409-ace8-45f8-8ac3-3613e1265a47/resource/d8c4880a-69f5-411c-9ff3-19e5dd33894a/download/readme.hko.txt |
| Last updated | November 16, 2022 |
| Created | November 16, 2022 |
