index.data
Creators:
Philip Hans Franses
;
Marco van der Leij
;
Richard Paap
From the dataset abstract
Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic Censored...
Source: Modelling and forecasting level shifts in absolute returns (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | data |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/0ebd8e50-fc05-482d-944e-337da56848c8/resource/b6392f88-b162-4f71-8564-07ed342c4266/download/index.data |
| Last updated | November 10, 2022 |
| Created | November 10, 2022 |
