readme.ckm.txt
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)
Metadata
| Field | Value |
|---|---|
| Format | text/plain |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/f255c603-3902-4399-850f-5942d7decf76/resource/c109d7d1-b893-4b8b-b530-22c4c72bc256/download/readme.ckm.txt |
| Last updated | November 22, 2022 |
| Created | November 22, 2022 |
