ckm-data.zip
Creators:
Laurent Callot
;
Anders Bredahl Kock
;
Marcelo C. Medeiros
From the dataset abstract
We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality and...
Source: Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | application/zip |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/f255c603-3902-4399-850f-5942d7decf76/resource/2e62b338-7b0f-47bb-82ff-241ff4411efb/download/ckm-data.zip |
| Last updated | November 22, 2022 |
| Created | November 22, 2022 |
