Ronald Mahieu and Peter Schotman, "An Empirical Application of Stochastic
Volatility Models", Journal of Applied Econometrics, Vol. 13, No. 4, 1998,
pp. 333-360.
The file EXRTLND4.DAT, which is zipped in the file ms-data.zip, is a
DOS-format ASCII file with weekly exchange rate returns for six bilateral
currencies:
(1) yen / dollar
(2) dmark / dollar
(3) sterling / dollar
(4) dmark / yen
(5) sterling / yen
(6) sterling / dmark
The sample period is January 3, 1973 through February 9, 1994, a total of
1101 weekly returns. Returns are calculated as LN(x(t)/x(t-1)). Data are
stored by series in six columns.
The file ms-progs.zip contains zipped GAUSS files with the code for the
basic Gibbs sampling code for the stochastic volatility model with the
mixture of three densities for the measurement error. Running the program
generates the Bayesian results for table 3 of the paper. The code has run
under GAUSSi-386 VM (version 2.2.4, aug 11 1994).