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The Evolving Causal Structure of Equity Risk Factors

The dataset used in the paper is a collection of 11 risk factors concerning the US equity market, spanning 29 years at daily frequency.

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Cite this as

Gabriele D’Acunto, Francesco Bonchi, Paolo Bajardi, Gianmarco De Francisci Morales (2024). Dataset: The Evolving Causal Structure of Equity Risk Factors. https://doi.org/10.57702/z7b5eo9e

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Additional Info

Field	Value
Created	December 16, 2024
Last update	December 16, 2024
Defined In	https://doi.org/10.1145/3490354.3494370
Author	Gabriele D’Acunto
More Authors	Francesco Bonchi Paolo Bajardi Gianmarco De Francisci Morales
Homepage	https://doi.org/10.1145/3490354.3494370