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://jda-test.zbw.eu/dataset/4385b2d6-8b9c-45a3-abcf-034a2085bfe4/resource/65f8caf4-6119-443f-9f98-e883962cf59a/download/sp500_return.txt |
| Last updated | November 4, 2022 |
| Created | November 4, 2022 |
