Monthly Archives: September 2019

Clean up TRACE Enhanced dataset

Posted on September 16, 2019 by Kai Chen

WRDS provides an excellent manual (link) and SAS code (link) for cleaning up the raw TRACE Enhanced bond transaction data, primarily based on the work done by Dick‐Nielsen, Jens, How to Clean Enhanced TRACE Data (December 3, 2014). Available at … Continue reading →

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