FF-data-2.xlsx
Creators:
Peter Reinhard Hansen
;
Asger Lunde
;
Valeri Voev
From the dataset abstract
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized measures...
Metadata
| Field | Value |
|---|---|
| Format | application/vnd.openxmlformats-officedocument.spreadsheetml.sheet |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/04e83816-ed99-454c-bfe0-229b6cd761c7/resource/9e8e20a0-96d5-43b9-9e0a-056d162b7d69/download/ff-data-2.xlsx |
| Last updated | November 17, 2022 |
| Created | November 17, 2022 |
