copula: gasoil – R documentation

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gasoil

Daily Crude Oil and Natural Gas Prices from 2003 to 2006

Description

Three years of daily prices (from July 2003 to July 2006) of crude oil and natural gas. These data should be very close to those analysed in Grégoire, Genest and Gendron (2008).

Usage

data(gasoil, package="copula")

Format

A data frame of 762 daily prices from 2003 to 2006.

date: date (of class Date).
oil: daily price of crude oil
gas: daily price of natural gas

References

Grégoire, V., Genest, C., and Gendron, M. (2008) Using copulas to model price dependence in energy markets. Energy Risk 5(5), 58–64.

Examples

data(gasoil)
## Log Scaled  Oil & Gas Prices :
lattice :: xyplot(oil + gas ~ date, data = gasoil, auto.key=TRUE,
                  type = c("l","r"),
                  scales=list(y = list(log = TRUE), equispaced.log = FALSE))

copula

Multivariate Dependence with Copulas

v1.0-1

GPL (>= 3) | file LICENCE

Authors

Marius Hofert [aut] (<https://orcid.org/0000-0001-8009-4665>), Ivan Kojadinovic [aut] (<https://orcid.org/0000-0002-2903-1543>), Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Jun Yan [aut] (<https://orcid.org/0000-0003-4401-7296>), Johanna G. Nešlehová [ctb] (evTestK(), <https://orcid.org/0000-0001-9634-4796>), Rebecca Morger [ctb] (fitCopula.ml(): code for free mixCopula weight parameters)

Initial release

2020-12-07