The model covers the following 23 countries: Austria, Belgium, Bulgaria, the Czech Republic, Denmark, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Lithuania, the Netherlands, Norway, Poland, Portugal, Russia, Spain, Sweden, Switzerland and the United Kingdom.
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 three global control variables:
A detailed description of the construction and properties of the dataset can be found in the the paper.
Much of the data used in the model is proprietary and the associated licensing restrictions prevent us from sharing the dataset.