HighFrequencyCovariance: A Julia Package for Estimating Covariance Matrices Using High Frequency Financial Data
High frequency data typically exhibit asynchronous trading and microstructure noise, which can bias the covariances estimated by standard estimators. While a number of specialized estimators have been proposed, they have had limited availability in open source software. HighFrequencyCovariance is th...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2022-08-01
|
| Series: | Journal of Statistical Software |
| Online Access: | https://www.jstatsoft.org/index.php/jss/article/view/4571 |