GitHub - mstollenwerk/highfrequency_data: Functions used to create realized covariance matrices from one-minute OHLC S&P500 equity price data.

Name		Name	Last commit message	Last commit date
Latest commit History 1 Commit
data_00_variables.R		data_00_variables.R
data_01_download.R		data_01_download.R
data_02_unpack.R		data_02_unpack.R
data_03_rewrite.R		data_03_rewrite.R
data_04_intraday.R		data_04_intraday.R
data_05_symbol_liquidity_sampling.R		data_05_symbol_liquidity_sampling.R
data_06_rcov_01_explanation.html		data_06_rcov_01_explanation.html
data_06_rcov_02_functions.R		data_06_rcov_02_functions.R