Optimal Dynamic Regularization and Bias Adjustment of Realized Global Minimum Variance Portfolio Weights

Data set for the manuscript "Optimal Dynamic Regularization and Bias Adjustment of Realized Global Minimum Variance Portfolio Weights". The file RCOV.txt contains the realized covariance matrices. These were calculated as composite realized kernels from minute-by-minute data. Each column of the matrix contains the vech of the lower triangular matrix of the realized covariance matrix corresponding to the respective trading day. The trading days are listed in the file Dates.txt. The file Symbols.txt contains the tickers.