ExchRate {Greene}R Documentation

Boolerslev and Ghysels Exchange Rate Data

Description

daily observations from to

number of observations : 1974

observation : country

country : Germany

Usage

data(ExchRate)

Format

A dataframe containing :

Y
nominal return on Mark/Pound exchange rate, daily

Original description

“1974 daily observations.”

Source

Bollerslev, T. (1986) “Generalized autoregressive conditional heteroscedasticity”, Journal of Econometrics , 31, 307-327.

References

Greene, W.H. (2003) Econometric Analysis, Prentice Hall, Table F11.1.


[Package Greene version 0.1-2 Index]