numeraire_dataset.HKMPaperData#

class numeraire_dataset.HKMPaperData(frequency: Literal['quarterly', 'monthly'], factors: DataFrame, excess_returns: DataFrame, asset_metadata: DataFrame)[source]#

Bases: object

Fixed paper-sample factors and the unbalanced 124-test-asset panel.

__init__(frequency: Literal['quarterly', 'monthly'], factors: DataFrame, excess_returns: DataFrame, asset_metadata: DataFrame) → None#

Methods

__init__(frequency, factors, excess_returns, ...)

complete_case(asset_class)

Return one asset class on dates where all its assets and factors are observed.

Attributes

frequency

factors

excess_returns

asset_metadata

complete_case(asset_class: Literal['ff25', 'us_bonds', 'sovereign_bonds', 'options', 'cds', 'commodities', 'fx']) → HKMAssetClassData[source]#

Return one asset class on dates where all its assets and factors are observed.