Global COVOL of country equity ETFs

Published: 26 September 2022| Version 1 | DOI: 10.17632/vf729mpgct.1
Contributor:
Susana Campos-Martins

Description

Data and code to reproduce the empirical results in Engle and Campos-Martins (2022) of the analysis of global common volatility (COVOL) of country equity ETFs.

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Categories

Financial Risk, Financial Econometrics, Financial Time Series Analysis, Time Series, Time Series Modeling, Volatility

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