CEES: Standarised rates from a currency portfolio.

In tvReg: Time-Varying Coefficient for Single and Multi-Equation Regressions

Standarised rates from a currency portfolio.

Description

Aslanidis and Casas (2013) consider a portfolio of daily US dollar exchange rates of the Australian dollar (AUS), Swiss franc (CHF), euro (EUR), British pound (GBP), South African rand (RAND), Brazilian real (REALB), and Japanese yen (YEN) over the period from January 1, 1999 until May 7, 2010 (T = 2856 observations). This dataset contains the standarised rates after "devolatilisation", i.e. standarising the rates using a GARCH(1,1) estimate of the volatility.

Format

A data frame with 2855 rows and 8 variables. Below the standarised rates of daily US dollar exchange rates of

Date

Daily data from Jan 6, 1999 until May 7, 2010 - without weekends and days off

AUS

Australian dollar

CHF

Swiss franc

EUR

Euro

GBP

British pound

RAND

South African rand

REALB

Brazilian real

YEN

Japanese yen

References

Aslanidis, N. and Casas, I. (2013) Nonparametric correlation models for portfolio allocation, Journal of Banking and Finance, 37, 2268 - 2283.

tvReg documentation built on Sept. 1, 2023, 5:07 p.m.