Laurent Callot, Anders B. Kock, and Marcelo C. Medeiros, "Modeling and
Forecasting Large Realized Covariance Matrices and Portfolio Choice",
Journal of Applied Econometrics, Vol. 32, No. 1, 2017, pp. 140-158.

Author: Laurent Callot (l.callot [AT] gmail.com)
Date: 05/01/2016

This archive contains the data in csv format. A repository with the
complete replication material (code, data, and detailed instructions)
for this paper can be found at https://github.com/lcallot/rcv-fc

# Data

The data are contained in the csv_data zip file. Files starting with
CRK are csv data files containing realized covariance matrices for
different subsets of the data at different levels of aggregation.

-- We have 1474 daily observations, 315 weekly observations, and 72
monthly observations.

-- The first column contains the day, week, or month index of the
observation.

-- Each row contains a realized covariance matrix (465 columns for the
30 stocks of the Dow Jones, 496 for the Dow Jones augmented with the
S&P 500 index).

-- Rows are constructed by concatenating the upper diagonal of a
realized covariance matrix so that the entries are: var(stock1),
cov(stock1,stock2), var(stock2), cov(stock1,stock3),
cov(stock2,stock3), var(stock3), etc.

# CRK File name nomenclature

1. File names ending with W or M refer to weekly or monthly aggregated
data; all others (with har in the name) are daily data.

2. Files containing dj in the name indicate that the data are composed
of the 30 stocks of the Dow-Jones. Files containing fac are the
Dow-Jones augmented with the S&P 500 used as a common factor.

3. Files containing cens in the name refer to censored data (see paper),
none is used for uncensored data.

4. The transformations applied to the data are referred to as lcov and
lmat or none; see the paper for details.

# Other files

dj-ind.csv is a plain text file containing the ticker of the 30 stocks of
the Dow Jones in the order in which they appear in the data files.


All the data files are ASCII files in DOS format. They are zipped in
the file ckm-data.zip. Unix/Linux users should use "unzip -a".


# Acknowledgement

The data were kindly provided to us by Asger Lunde.