realized_library: The realized library from the Oxford-Man Institute of Quantitative Finance
Description
An xts object containing the daily returns, daily Realized Variance and daily Realized Kernels ranging from 1996-01-03 up to 2009-03-01 for several indices and exchange rates.
Use colnames(realized_library) to see which assets are included.
The full library of the Oxford-Man Institute of Quantitative Finance can be found on their website: http://realized.oxford-man.ox.ac.uk.Usage
data("realized_library")References
Gerd Heber, Asger Lunde, Neil Shephard, and Kevin Sheppard (2009)
"Oxford-Man Institute's realized library, version 0.1", Oxford-Man
Institute, University of Oxford.
Shephard, N. and K. Sheppard (2010). Realising the future: forecasting with high
frequency based volatility (heavy) models. Journal of Applied Econometrics 25,
197-231.