PriceVol

A nine-year balanced panel price-volumn data of 17 mareket indices, 2006/8/30-2014/11/19

Perform the estimation and inference of Global Vector Autoregression model (GVAR) of Pesaran, Schuermann and Weiner (2004) <DOI:10.1198/073500104000000019> and Dees, di Mauro, Pesaran and Smith (2007) <DOI:10.1002/jae.932>.

Ho Tsung-wu

GVARX

Perform Global Vector Autoregression Estimation and Inference

PriceVol function

A data frame with 0 observations on the following 2 variables.<dl>
 <dt><code>ID</code></dt>
<dd>Names of country, cross-section ID</dd> <dt><code>Time</code></dt>
<dd>Time index</dd> <dt><code>Ret</code></dt>
<dd>Daily returns computed by close-to-close</dd> <dt><code>Vol</code></dt>
<dd>Daily transaction volumn, by log</dd> 
</dl>

Format

Dataset price-volumn of 17 mareket indices — PriceVol

A data frame with 0 observations on the following 2 variables.<dl>
 <dt><code>ID</code></dt>
<dd>Names of country, cross-section ID</dd>

 <dt><code>Time</code></dt>
<dd>Time index</dd>

 <dt><code>Ret</code></dt>
<dd>Daily returns computed by close-to-close</dd>

 <dt><code>Vol</code></dt>
<dd>Daily transaction volumn, by log</dd>

 
</dl>

PriceVol: Dataset price-volumn of 17 mareket indices

Description

Usage

Arguments

Format

Examples