CRSP_DATA_20191231.csv
Creators:
Arnaud Dufays
;
Zhuo Li
;
Jeroen V.K. Rombouts
;
Yong Song
From the dataset abstract
Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP-VAR model which...
Metadata
| Field | Value |
|---|---|
| Format | text/csv |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/723a51fd-b35c-4212-9e5e-387228a5f776/resource/b32225a8-502c-483c-8eea-e263aca646b7/download/crsp_data_20191231.csv |
| Last updated | November 23, 2022 |
| Created | November 23, 2022 |
