data_stock_returns {SystemicR}

Financial institutions (banks, insurers and asset managers) stock returns

Description

This dataset includes state variables data extracted from the FRED and Yahoo Finance. Specifically, it includes dates, MSCI STOXX Europe 600 Index returns and banks, insurers and asset managers stock returns.

Usage

data("data_stock_returns")

Format

A data frame with 5030 observations on the following 74 variables.

ACKB.BB.Equity

a numeric vector

AGN.NA.Equity

a numeric vector

AGS.BB.Equity

a numeric vector

AIBG.ID.Equity

a numeric vector

ALV.GY.Equity

a numeric vector

AV..LN.Equity

a numeric vector

BALN.SE.Equity

a numeric vector

BARC.LN.Equity

a numeric vector

BBVA.SQ.Equity

a numeric vector

BIRG.ID.Equity

a numeric vector

BKT.SQ.Equity

a numeric vector

BNP.FP.Equity

a numeric vector

BPE.IM.Equity

a numeric vector

CBG.LN.Equity

a numeric vector

CBK.GY.Equity

a numeric vector

CNP.FP.Equity

a numeric vector

CS.FP.Equity

a numeric vector

CSGN.SE.Equity

a numeric vector

DANSKE.DC.Equity

a numeric vector

DBK.GY.Equity

a numeric vector

DNB.NO.Equity

a numeric vector

Date

a date vector

EBS.AV.Equity

a numeric vector

EMG.LN.Equity

a numeric vector

G.IM.Equity

a numeric vector

GBLB.BB.Equity

a numeric vector

GLE.FP.Equity

a numeric vector

HELN.SE.Equity

a numeric vector

HNR1.GY.Equity

a numeric vector

HSBA.LN.Equity

a numeric vector

HSX.LN.Equity

a numeric vector

ICP.LN.Equity

a numeric vector

III.LN.Equity

a numeric vector

INDUA.SS.Equity

a numeric vector

INGA.NA.Equity

a numeric vector

INVEB.SS.Equity

a numeric vector

ISP.IM.Equity

a numeric vector

JYSK.DC.Equity

a numeric vector

KBC.BB.Equity

a numeric vector

KINVB.SS.Equity

a numeric vector

KN.FP.Equity

a numeric vector

KOMB.CK.Equity

a numeric vector

LGEN.LN.Equity

a numeric vector

LLOY.LN.Equity

a numeric vector

LUNDB.SS.Equity

a numeric vector

MAP.SQ.Equity

a numeric vector

MB.IM.Equity

a numeric vector

MF.FP.Equity

a numeric vector

MUV2.GY.Equity

a numeric vector

NDA.SS.Equity

a numeric vector

NXG.LN.Equity

a numeric vector

OML.LN.Equity

a numeric vector

PARG.SE.Equity

a numeric vector

PRU.LN.Equity

a numeric vector

RBS.LN.Equity

a numeric vector

RF.FP.Equity

a numeric vector

RSA.LN.Equity

a numeric vector

SAMPO.FH.Equity

a numeric vector

SAN.SQ.Equity

a numeric vector

SCR.FP.Equity

a numeric vector

SDR.LN.Equity

a numeric vector

SEBA.SS.Equity

a numeric vector

SHBA.SS.Equity

a numeric vector

SLHN.SE.Equity

a numeric vector

SREN.SE.Equity

a numeric vector

STAN.LN.Equity

a numeric vector

STB.NO.Equity

a numeric vector

STJ.LN.Equity

a numeric vector

SWEDA.SS.Equity

a numeric vector

SXXP.Index

a numeric vector

SYDB.DC.Equity

a numeric vector

UBSG.SE.Equity

a numeric vector

UCG.IM.Equity

a numeric vector

ZURN.SE.Equity

a numeric vector

Source

Federal Reserve Economic Data (FRED) St. Louis Fed and Yahoo Finance

References

Hasse, Jean-Baptiste. "Systemic Risk: a Network Approach". AMSE Working Paper (2020)

Examples

data("data_stock_returns")
head(data_stock_returns)