Data to Examples in Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations

In this repository, you may find the data used in C. Erlwein-Sayer, S. Grimm, P. Ruckdeschel, J. Sass, T. Sayer (2019): "Data to Examples in "Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations".