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...
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Metadata
| Field | Value |
|---|---|
| Format | 7z |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/b9d10409-ace8-45f8-8ac3-3613e1265a47/resource/e319ca33-78a3-483e-ae63-7079c189fb05/download/blocked8.7z |
| Last updated | November 16, 2022 |
| Created | November 16, 2022 |
