lrnokeur {SkewHyperbolic}

Log Returns of the NOK/EUR Exchange Rate

Description

Log returns of daily closing value data of the NOK/EUR (Norwegian Kroner/Euro) exchange rate, from 04/JAN/1999 to 08/JUL/2003. The original data was downloaded from the oanda website. The data was selected to be as similar as possible to the data used in the Aas & Haff article (see References).

Usage

data(lrnokeur)

Format

A vector of 1647 observations.

Author(s)

David Scott [e-mail], Fiona Grimson

Source

http://www.oanda.com

References

Aas, K. and Haff, I. H. (2006). The Generalised Hyperbolic Skew Student's t-distribution, Journal of Financial Econometrics, 4, 275–309.

Examples

##Fit the skew hyperbolic students-t distribution to the data
data(lrnokeur)
fit <- skewhypFit(lrnokeur, method = "nlm", plot = TRUE, print = TRUE)