Update README.md

parent 60df1b54
# Data to Examples in Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations
In this repository, you may find the data used in C. Erlwein-Sayer, S. Grimm, P. Ruckdeschel, J. Sass, and T. Sayer (2019): "Data to Examples in "Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations".
\ No newline at end of file
In this repository, you may find the data used in Section 5.3 of C. Erlwein-Sayer, S. Grimm, P. Ruckdeschel, J. Sass, and T. Sayer (2019): "Data to Examples in "Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations" .
The data is available as an R data frame with 2532 observations in 41 columns---one date column and 20 assets from the FTSE 100 index covering together with their respective log returns. The data set covers the ten year
time period between January 2008 and February 2018 and was obtained from Yahoo finance through R-function tseries::get.hist.quote() .
\ No newline at end of file
Markdown is supported
0% or
You are about to add 0 people to the discussion. Proceed with caution.
Finish editing this message first!
Please register or to comment