GIBBSVAR.G
Creators:
Ronald Mahieu
;
Peter C. Schotman
From the dataset abstract
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the effects of the...
Source: An empirical application of stochastic volatility models (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | g |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/017ebafb-23d8-4264-a0f5-c137899e7ae5/resource/f7652f65-43a7-4783-a4a4-e4ce0f789077/download/gibbsvar.g |
| Last updated | November 10, 2022 |
| Created | November 10, 2022 |
