Covariance estimation with time-series of mixed frequencies

mpiktas / midasr

R package for mixed frequency time series data analysis.

http://mpiktas.github.io/midasr/

Other

73 stars 34 forks source link

Covariance estimation with time-series of mixed frequencies #70

Closed pannefr closed 1 year ago

pannefr commented 5 years ago

Is this package appropriate to estimate the covariance matrix for stock returns where I have monthly data for some stocks and daily data for other stocks ?

A reference would be welcome.

Thanks