Siem Jan Koopman and Eugenie Hol Uspensky, 
"The Stochastic Volatility in
Mean Model: Empirical Evidence from International Stock Markets",

Journal of Applied Econometrics, Vol. 17, No. 6, 2002, pp. 667-689.



The data are in two ASCII files in DOS format, which are zipped in the file
ku-data.zip. 
Unix users should use "unzip -a".




DataSVM1.dat

------------

Column 1: date

Column 2: daily returns of FTSE ALL SHARE - PRICE INDEX

Column 3: daily returns of S&P 500 COMPOSITE - PRICE INDEX



First row: 2nd January  1975

Last row:  31st December 1998

Total number of observations: 6261



Source: DataStream
(data are "cleaned"; see JAE article for details)




DataSVM2.dat

------------

Column 1: date

Column 2: daily returns of FTSE ALL SHARE - PRICE INDEX

Column 3: daily returns of S&P 500 COMPOSITE - PRICE INDEX

Column 4: daily returns of TOKYO SE (TOPIX) - PRICE INDEX



First row: 4th January  1988

Last row:  31st December 1998

Total number of observations: 2869


Source: DataStream
(data are "cleaned"; see JAE article for details)



Ox programs

-----------

SV program can be used for standard analyses using Ox
Download URL:
http://www.feweb.vu.nl/koopman/sv/

Siem Jan Koopman 
Department of Econometrics, Free University Amsterdam
E-mail: s.j.koopman@feweb.vu.nl

Eugenie Hol Uspensky
Department of Accounting and Finance, University of Birmingham
