dowjones {ExtremeRisks}R Documentation

Negative log-returns of DOW JONES.


Series of negative log-returns of the U.S. stock market index Dow Jones.


A 8784*2 data frame.


From the series of n = 8785 closing prices S_{t}, t=1,2,..., for the Dow Jones stock market index, recorded from January 29, 1985 to December 12, 2019, the series of negative log-returns.

X_{t+1} = - \log(S_{t+1}/S_t), \quad 1\leq t\leq n-1

is available. Hence the dataset (negative log-returns) contains 8784 observations.

[Package ExtremeRisks version 0.0.4 Index]