s-and-p-500-returns.zip
Creators:
Natalia Bailey
;
George Kapetanios
;
M. Hashem Pesaran
From the dataset abstract
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the variance...
Source: Exponent of Cross-Sectional Dependence: Estimation and Inference (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | application/zip |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/e4ab4b0e-e0be-48d9-bc20-1f5547b4f756/resource/c6ee49db-7660-47b8-8e28-b3680741d7ad/download/s-and-p-500-returns.zip |
| Last updated | November 22, 2022 |
| Created | November 22, 2022 |
