Open AccessHighFrequencyCovariance: A Julia Package for Estimating Covariance Matrices Using High Frequency Financial Data
Author(s) -
Stuart Baumann,
Margaryta Klymak
Publication year - 2021
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.3786912
Subject(s) - covariance , econometrics , r package , estimation of covariance matrices , mathematics , computer science , statistics , economics
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