Hello, can anyone guide me where I can find Julia code for the estimation of cov matrix using the Hayashi Yoshida and Fourier methods?
Related topics
| Topic | Replies | Views | Activity | |
|---|---|---|---|---|
| Problem in understanding how to load data to estimate covariance matrix | 2 | 363 | April 15, 2021 | |
| HighFrequencyCovariance.jl - Algorithms for efficiently estimating covariance matrices with high frequency financial data | 1 | 1008 | January 17, 2021 | |
| Wrong cov2cor()? | 4 | 1228 | January 9, 2019 | |
| [ANN(s)] HalfSpectral.jl: a convenient interface for half-spectral covariance functions, and GPMaxlik.jl: trust-region based maximum likelihood estimation for Gaussian Processes | 0 | 400 | July 23, 2020 | |
| Hessian matrix for standard errors using Optim.jl example | 1 | 2920 | November 27, 2018 |