Replication Data for: Continuous-Time Fama-MacBeth Regressions

NIAID Data Ecosystem2026-05-02 收录

资产定价实证研究

金融计量学

数据链接：

https://doi.org/10.7910/DVN/LOSXWS 数据链接链接失效反馈

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资源简介：

Replication codes and pseudo-data for "Continuous-Time Fama-MacBeth Regressions."

创建时间：

2025-04-21

Parametric Inference and Dynamic State Recovery from Option Panels

期权定价模型

金融计量学

We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyn

NBER2012-05-01 更新130

Replication Data for: A GARCH Tutorial with R

金融计量学

波动性建模

Context: Modelling Volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: In this tutorial paper we will address the topic of volati

DataCite Commons2025-05-12 更新70

Kendall’s tau covariance analysis of the illiquidity measurement.

金融市场流动性

金融计量学

The table presents the correlation matrix of the time-series of illiquidity measures. Illiquidity is measured using the Amihud measure for each market. The sample runs from January 1, 2010 to March 22

NIAID Data Ecosystem30

Replication Data and Code for: Gambling on Crypto Tokens?

加密货币投机分析

金融计量学

This folder contains the data and code needed for replicating the findings of Chava, Hu, and Paradkar (2024), entitled "Gambling on Crypto Tokens?" The data is in CSV form, while the code is in the fo

DataCite Commons2024-10-24 更新100

Replication Data for: Idiosyncratic Volatility and the ICAPM Covariance Risk

金融计量学

资产定价

Replication package for \"Idiosyncratic Volatility and the ICAPM Covariance Risk\" (accepted for publication in JFQA in 2025)

DataONE2025-06-16 更新50