sp500_return.txt
Creators:
Gloria González-Rivera
;
Tae-Hwy Lee
;
Santosh Mishra
From the dataset abstract
We propose a new nonlinear time series model of expected returns based on the dynamics of the cross-sectional rank of realized returns. We model the joint dynamics of a sharp jump in the...
Source: Jumps in cross-sectional rank and expected returns: a mixture model (replication data)
Metadata
| Field | Value |
|---|---|
| Format | text/plain |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/15fb8459-806c-40b8-ab52-4f8958c91583/resource/bed156aa-a540-4111-943b-883ddb3b1bda/download/sp500_return.txt |
| Last updated | November 15, 2022 |
| Created | November 15, 2022 |
