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://jda-test.zbw.eu/dataset/69186331-8bd3-41e6-8753-70fa370db46d/resource/ae772b04-bb99-451b-a35c-935602d746b5/download/s-and-p-500-returns.zip |
| Last updated | November 8, 2022 |
| Created | November 8, 2022 |
