greenbrown

Daily returns for a green and a brown portfolios constructed following
the equal-weighted 10-90 percentile approach.

datasets

Estimation, forecasting, simulation, and portfolio construction for
regime-switching models with exogenous variables as in
Pelletier (2006) <doi:10.1016/j.jeconom.2005.01.013>.

David Ardia

RSDC

Regime-Switching Dynamic Correlation Models

Benjamin Seguin

greenbrown function

A data frame with 2266 rows and three columns:<dl>
<dt>DATE</dt>
<dd>Dates ranging from 2014-01-02 to 2024-12-30.</dd><dt>return_green</dt>
<dd>Numeric returns for the green portfolio.</dd><dt>return_brown</dt>
<dd>Numeric returns for the brown portfolio.</dd>
</dl>

Format

Green vs Brown portfolio dataset — greenbrown

A data frame with 2266 rows and three columns:<dl>
<dt>DATE</dt>
<dd>Dates ranging from 2014-01-02 to 2024-12-30.</dd>

<dt>return_green</dt>
<dd>Numeric returns for the green portfolio.</dd>

<dt>return_brown</dt>
<dd>Numeric returns for the brown portfolio.</dd>


</dl>

greenbrown: Green vs Brown portfolio dataset

Description

Usage

Arguments

Format

Examples