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Part 1: Document Description
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Citation |
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Title: |
Replication data for: Crashes, Volatility, and the Equity Premium: Lessons from S&P500 Options |
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Identification Number: |
doi:10.7910/DVN/9QM7KX |
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Distributor: |
Harvard Dataverse |
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Date of Distribution: |
2010-09-17 |
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Version: |
1 |
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Bibliographic Citation: |
Pedro Santa-Clara; Shu Yan, 2010, "Replication data for: Crashes, Volatility, and the Equity Premium: Lessons from S&P500 Options", https://doi.org/10.7910/DVN/9QM7KX, Harvard Dataverse, V1 |
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Citation |
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Title: |
Replication data for: Crashes, Volatility, and the Equity Premium: Lessons from S&P500 Options |
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Identification Number: |
doi:10.7910/DVN/9QM7KX |
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Authoring Entity: |
Pedro Santa-Clara (Universidade Nova de Lisboa and NBER) |
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Shu Yan (University of South Carolina) |
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Distributor: |
Harvard Dataverse |
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Access Authority: |
Shu Yan |
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Date of Deposit: |
2010-08-30 |
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Series Name: |
Volume 92, Issue 2 |
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Holdings Information: |
https://doi.org/10.7910/DVN/9QM7KX |
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Study Scope |
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Abstract: |
N/A |
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Methodology and Processing |
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Sources Statement |
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Data Access |
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Notes: |
<a href="http://creativecommons.org/publicdomain/zero/1.0">CC0 1.0</a> |
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Other Study Description Materials |
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Related Publications |
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Citation |
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Title: |
Santa-Clara, P., and Yan, S., (2010), "Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options." Review of Economics and Statistics 92:2, 435-451. |
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Bibliographic Citation: |
Santa-Clara, P., and Yan, S., (2010), "Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options." Review of Economics and Statistics 92:2, 435-451. |
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Label: |
marcovariables.txt |
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Text: |
Macroeconomic variables data file |
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Notes: |
text/plain; charset=US-ASCII |
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Label: |
ml_102_public.m |
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Text: |
Matlab programs for maximum likelihood estimation of the SVSJ model |
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Notes: |
text/plain; charset=US-ASCII |
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ml_out_public.m |
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Text: |
Matlab programs to generate outputs for the paper |
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Notes: |
text/plain; charset=US-ASCII |
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ml_price_public.m |
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Text: |
Matlab programs to compute option prices |
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Notes: |
text/plain; charset=US-ASCII |
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Label: |
README.txt |
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Text: |
Description of the files |
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Notes: |
text/plain; charset=US-ASCII |
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returns&options.txt |
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Text: |
Returns and options data file |
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Notes: |
text/plain; charset=US-ASCII |
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Label: |
yzofsvsjmodel.txt |
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Text: |
Estimated state variables Y and Z for the SVSJ model |
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Notes: |
text/plain; charset=US-ASCII |