CEES

Aslanidis and Casas (2013) consider a portfolio of daily US dollar exchange rates of the Australian
dollar (AUS), Swiss franc (CHF), euro (EUR), British pound (GBP), South African rand (RAND),
Brazilian real (REALB), and Japanese yen (YEN) over the period from January 1, 1999
until May 7, 2010 (T = 2856 observations). This dataset contains the standarised rates after
"devolatilisation", i.e. standarising the rates using a GARCH(1,1) estimate of the volatility.

datasets

Fitting time-varying coefficient models for single and multi-equation regressions, using kernel smoothing techniques.

Isabel Casas

tvReg

Time-Varying Coefficient for Single and Multi-Equation
Regressions

Ruben Fernandez-Casal

CEES function

A data frame with 2855 rows and 8 variables. Below the standarised rates of daily US dollar
exchange rates of<dl class="dl-horizontal">
 <dt>Date</dt><dd>Daily data from Jan 6, 1999 until May 7, 2010 - without
 weekends and days off</dd>
 <dt>AUS</dt><dd>Australian dollar</dd>
 <dt>CHF</dt><dd>Swiss franc</dd>
 <dt>EUR</dt><dd>Euro</dd>
 <dt>GBP</dt><dd>British pound</dd>
 <dt>RAND</dt><dd>South African rand</dd>
 <dt>REALB</dt><dd>Brazilian real</dd>
 <dt>YEN</dt><dd>Japanese yen</dd>
</dl>

Format

Standarised rates from a currency portfolio. — CEES

A data frame with 2855 rows and 8 variables. Below the standarised rates of daily US dollar
exchange rates of<dl class='dl-horizontal'>
 <dt>Date</dt><dd>Daily data from Jan 6, 1999 until May 7, 2010 - without
 weekends and days off</dd>
 <dt>AUS</dt><dd>Australian dollar</dd>
 <dt>CHF</dt><dd>Swiss franc</dd>
 <dt>EUR</dt><dd>Euro</dd>
 <dt>GBP</dt><dd>British pound</dd>
 <dt>RAND</dt><dd>South African rand</dd>
 <dt>REALB</dt><dd>Brazilian real</dd>
 <dt>YEN</dt><dd>Japanese yen</dd>
</dl>

CEES: Standarised rates from a currency portfolio.

Description

Arguments

Format

References