This data set contains the series of realized covariances in 4 stock market indices, i.e. SP-500, Nikkei, DAX, and FTSE, Dividend Yield and Earning Price growth rate, inflation growth rates for U.S., U.K., Japan and Germany, from August 1990 to June 2018.
data(Realized)A zoo data frame with 334 monthly observations, ranging from 1990:M8 until 2018:M6.
SP |
Monthly realized variances of S&P 500 index. |
SP-NIKKEI |
Monthly realized covariances between S&P 500 and Nikkei. |
SP-FTSE |
Monthly realized covariances between S&P 500 and FTSE. |
SP-DAX |
Monthly realized covariances between S&P 500 and DAX. |
NIKKEI |
Monthly realized variances of Nikkei index. |
NIKKEI-FTSE |
Monthly realized covariances between Nikkei and FTSE. |
NIKKEI-DAX |
Monthly realized covariances between Nikkei and DAX. |
FTSE |
Monthly realized variances of FTSE index. |
FTSE-DAX |
Monthly realized covariances between FTSE and DAX. |
DAX |
Monthly realized variances of DAX index. |
DP |
Monthly Dividends growth rate over the past year relative to current market prices; S&P 500 index. |
EP |
Monthly Earnings growth rate over the past year relative to current market prices; S&P500 index. |
Inf_US |
US monthly Industrial Production growth. |
Inf_UK |
UK monthly Industrial Production growth. |
Inf_JPN |
Japan monthly Industrial Production growth. |
Inf_GER |
Germany monthly Industrial Production growth. |
rcov to build realized covariances from stock prices or returns.