Description Usage Format Source References
The Bollerslev-Ghysel benchmark dataset.
The variables in the data set are:
1.
The daily percentage nominal returns computed as 100 [ln(Pt) - ln(Pt-1)], where
Pt is the bilateral Deutschemark/British pound rate constructed from the
corresponding U.S. dollar rates.
2.
A dummy variable that takes the value of 1 on Mondays and other days following
no trading in the Deutschemark or British pound/ U.S. dollar market during regular
European trading hours and 0 otherwise.
1 |
A data.frame containing 2x1974 observations.
JBES Data Archive ftp://www.amstat.org/jbes/View/
Bollerslev, T. & Ghysels, E., “Periodic Autoregressive Conditional Heteroscedasticity”,1996, Journal of Business and Economic Statistics, Vol 14, pp. 139-151.
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