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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.