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.