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 | 366 | April 15, 2021 | |
| HighFrequencyCovariance.jl - Algorithms for efficiently estimating covariance matrices with high frequency financial data | 1 | 1013 | January 17, 2021 | |
| Wrong cov2cor()? | 4 | 1236 | January 9, 2019 | |
| Whats the easiest way to create correlation matrices in Julia? | 5 | 4126 | November 5, 2021 | |
| [ANN] CovarianceEstimation.jl -- fast and lightweight covariance estimation | 5 | 1933 | April 18, 2021 |