VineCopula: daxreturns – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

daxreturns

Major German Stocks

Description

This data set contains transformed standardized residuals of daily log returns of 15 major German stocks represented in the index DAX observed from January 2005 to August 2009. Each time series is filtered using a GARCH(1,1) model with Student t innovations.

Format

A data frame with 1158 observations on 15 variables. Column names correspond to ticker symbols of the stocks.

Source

Yahoo! Finance

Examples

# load the data set
data(daxreturns)

# compute the empirical Kendall's tau matrix
TauMatrix(daxreturns)

VineCopula

Statistical Inference of Vine Copulas

v2.4.1

GPL (>= 2)

Authors

Thomas Nagler [aut, cre], Ulf Schepsmeier [aut], Jakob Stoeber [aut], Eike Christian Brechmann [aut], Benedikt Graeler [aut], Tobias Erhardt [aut], Carlos Almeida [ctb], Aleksey Min [ctb, ths], Claudia Czado [ctb, ths], Mathias Hofmann [ctb], Matthias Killiches [ctb], Harry Joe [ctb], Thibault Vatter [ctb]

Initial release