LanWei-SWUFE/SP500
This dataset is compiled from the paper: "Chen, S. X., Guo, B., and Qiu, Y. (2023). Testing and signal identification for two- sample high-dimensional covariances via multi-level thresholding. Journal of Econometrics 235, 1337–1354."
07
This dataset is compiled from the paper: "Chen, S. X., Guo, B., and Qiu, Y. (2023). Testing and signal identification for two- sample high-dimensional covariances via multi-level thresholding. Journal of Econometrics 235, 1337–1354."