HighFrequencyCovariance : A Julia Package for Estimating Covariance Matrices Using High Frequency Financial Data
Year of publication: |
[2021]
|
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Authors: | Baumann, Stuart ; Klymak, Margaryta |
Publisher: |
[S.l.] : SSRN |
Subject: | Schätztheorie | Estimation theory | Korrelation | Correlation | Finanzmarkt | Financial market | Schätzung | Estimation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (21 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 16, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3786912 [DOI] |
Classification: | C22 - Time-Series Models ; c58 ; G11 - Portfolio Choice ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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