LofJAE2019.R
Creators:
Matthijs Lof
From the dataset abstract
This note provides a replication of Martin's (Quarterly Journal of Economics, 2017, 132(1), 367-433) finding that the implied volatility measure SVIX predicts US stock market returns up...
Source: Expected market returns: SVIX, realized volatility, and the role of dividends (replication data)
There are no views created for this resource yet.
Metadata
| Field | Value |
|---|---|
| Format | R |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/6b7d2751-5adf-4086-afd9-8d22a121212d/resource/06a6bcab-b8ec-4816-a52f-65fc433c3cec/download/lofjae2019.r |
| Last updated | November 8, 2022 |
| Created | November 8, 2022 |
