Description Usage Format Author(s) See Also
This data set contains the series of realized covariances in 4 stock market indices, i.e. SP-500, Nikkei, DAX, and FTSE, Dividend Yield and Earning Price growth rate, inflation growth rates for U.S., U.K., Japan and Germany, from August 1990 to June 2018.
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A zoo data frame with 334 monthly observations, ranging from 1990:M8 until 2018:M6.
SP | Monthly realized variances of S&P 500 index. |
SP-NIKKEI | Monthly realized covariances between S&P 500 and Nikkei. |
SP-FTSE | Monthly realized covariances between S&P 500 and FTSE. |
SP-DAX | Monthly realized covariances between S&P 500 and DAX. |
NIKKEI | Monthly realized variances of Nikkei index. |
NIKKEI-FTSE | Monthly realized covariances between Nikkei and FTSE. |
NIKKEI-DAX | Monthly realized covariances between Nikkei and DAX. |
FTSE | Monthly realized variances of FTSE index. |
FTSE-DAX | Monthly realized covariances between FTSE and DAX. |
DAX | Monthly realized variances of DAX index. |
DP | Monthly Dividends growth rate over the past year relative to current market prices; S&P 500 index. |
EP | Monthly Earnings growth rate over the past year relative to current market prices; S&P500 index. |
Inf_US | US monthly Industrial Production growth. |
Inf_UK | UK monthly Industrial Production growth. |
Inf_JPN | Japan monthly Industrial Production growth. |
Inf_GER | Germany monthly Industrial Production growth. |
Andrea Bucci
rcov
to build realized covariances from stock prices or returns.
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