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