CRSP_DATA_20191231.csv
Creators:
Arnaud Dufays
;
Zhuo Li
;
Jeroen V.K. Rombouts
;
Yong Song
From the dataset abstract
Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP-VAR model which...
Metadata
| Field | Value |
|---|---|
| Format | text/csv |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/5f0110ea-6123-42bb-b76e-bb8eec0d8f68/resource/1abbf01a-ed81-4812-ad7c-96f74e8d13ba/download/crsp_data_20191231.csv |
| Last updated | November 8, 2022 |
| Created | November 8, 2022 |
