Hello, is there a code for the realised covariance estimator, rcov in Julia? I understand it is the simplest form of covariance matrix estimation. I wish to estimate the matrix for 10 assets.
Hello, is there a code for the realised covariance estimator, rcov in Julia? I understand it is the simplest form of covariance matrix estimation. I wish to estimate the matrix for 10 assets.
It’s Scatter Matrix and Covariance · StatsBase.jl scattermat From StatsBase.