The model covers the following 18 countries: Austria, Australia, Belgium, China, France, Germany, Greece, Ireland, Italy, Japan, the Netherlands, Norway, Portugal, Russia, Spain, Sweden, the UK and the US.
The model uses daily data over the period January 2nd 2006 to July 27th 2015. The model is estimated using a rolling window of 250 trading days.
The following information is included for each country:
The model also includes four global control variables:
A detailed description of the construction and properties of the dataset can be found in the data supplement for the paper.
Much of the data used in the model is proprietary and the associated licensing restrictions prevent us from sharing the dataset.