"HighFrequencyCovariance: A Julia Package for Estimating Covariance ..."

Stuart Baumann, Margaryta Klymak (2022)

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DOI: 10.18637/JSS.V103.I14

access: open

type: Journal Article

metadata version: 2023-08-28

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Stuart Baumann, Margaryta Klymak:
HighFrequencyCovariance: A Julia Package for Estimating Covariance Matrices Using High Frequency Financial Data. J. Stat. Softw. 103(14) (2022)

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