Open AccessHighFrequencyCovariance: A Julia Package for Estimating Covariance Matrices Using High Frequency Financial Data
Author(s) -
Stuart Baumann,
Margaryta Klymak
Publication year - 2022
Publication title -
journal of statistical software
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 7.636
H-Index - 145
ISSN - 1548-7660
DOI - 10.18637/jss.v103.i14
Subject(s) - covariance , estimator , covariance matrix , computer science , estimation of covariance matrices , volatility (finance) , econometrics , monte carlo method , covariance function , algorithm , realized variance , regularization (linguistics) , mathematics , statistics , artificial intelligence