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 | |
---|---|---|---|---|
Realised covariance estimator | 1 | 222 | April 24, 2021 | |
HighFrequencyCovariance.jl - Algorithms for efficiently estimating covariance matrices with high frequency financial data | 1 | 1024 | January 17, 2021 | |
Least squares fitting that accounts for covariance matrix of all input parameters | 22 | 3158 | August 4, 2021 | |
Problem in understanding how to load data to estimate covariance matrix | 2 | 370 | April 15, 2021 | |
What wrong i cov() in Julia 5.0? | 8 | 1465 | September 2, 2017 |