PR-code.zip
Creators:
David I. Harvey
;
Stephen J. Leybourne
;
Robert Sollis
;
A. M. Robert Taylor
From the dataset abstract
We propose new real-time monitoring procedures for the emergence of end-of-sample predictive regimes using sequential implementations of standard (heteroskedasticity-robust) regression...
Source: Real‐time detection of regimes of predictability in the US equity premium (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | application/zip |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/fe2a86f2-0e64-4aa8-8975-85ea9fed2a14/resource/6ad3b585-23bc-4610-aae2-40de652c4b7a/download/pr-code.zip |
| Last updated | November 23, 2022 |
| Created | November 23, 2022 |
