Dataset

Data on realized volatility of US and Australian equity markets

University of Tasmania, Australia
Dungey, Mardi (Has point of contact , Aggregated by)
Viewed: [[ro.stat.viewed]] Cited: [[ro.stat.cited]] Accessed: [[ro.stat.accessed]]
ctx_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rfr_id=info%3Asid%2FANDS&rft_id=http://vivo.utas.edu.au/vivo/individual/n129259&rft.title=Data on realized volatility of US and Australian equity markets&rft.identifier=http://vivo.utas.edu.au/vivo/individual/n129259&rft.publisher=University of Tasmania, Australia&rft.description=Data consist of 5 minute transaction prices on 500 US stocks (components of the S&P500 index) and 168 Australian stocks. These are downloaded from the SIRCA database. Substantial cleaning is undertaken and the data are used to create a dataset of daily realized volatility estimates for each stock&rft.creator=Dungey, Mardi&rft.date=2015&rft_subject=Stocks&rft_subject=Equity Markets&rft_subject=Finance&rft_subject=Commerce, Management, Tourism and Services&rft_subject=Banking, Finance and Investment&rft.type=dataset&rft.language=English Access the data

Please use the contact information below to request access to this data.

Contact Information

University of Tasmania. Files are provided as individual csv files which are then transformed to obtaine equi-distant observations and to control for overnight and missing returns

Access:

Other view details

Please contact the creator for access to the data. Data are collated from the SIRCA Thomson Tick-History dataset available by subscription to SIRCA http://www.sirca.org.au/

Copyright is held by SIRCA 

Full description

Data consist of 5 minute transaction prices on 500 US stocks (components of the S&P500 index) and 168 Australian stocks. These are downloaded from the SIRCA database. Substantial cleaning is undertaken and the data are used to create a dataset of daily realized volatility estimates for each stock
Click to explore relationships graph
Subjects

User Contributed Tags    

Login to tag this record with meaningful keywords to make it easier to discover