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highfrequency (version 0.6.5)

SP500RM: SP500 Realized Measures calculated with 5 minute sampling

Description

Realized measures from the SP500 index from April 1997 to August 2013.

Usage

SP500RM

Arguments

Format

A large xts object.

References

Bollerslev, T., A. J. Patton, and R. Quaedvlieg, 2016, Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting, Journal of Econometrics, 192, 1-18.