Revisiting EWMA in HF-based Portfolio Optimization: A comparative assessment (replication data)
Abstract
We provide a README file with information about the source and construction of the data used in the paper 'Revisiting EWMA in High-Frequency-based Portfolio Optimization: A Comparative Assessment' by Laura Capera Romero and Anne Opschoor, abbreviated here as RO2026. In addition, part of the replication data has been uploaded, as well as Matlab Code.
Fields of Study & Subjects
Financial Markets and Investment Strategies
Financial Risk and Volatility Modeling
Risk and Portfolio Optimization
Publication details
- Journal / source
- ZBW Journal Data Archive
- Publication date
- 26 February 2026
- Language
- EN
- Document type
- Dataset