DaxCacNik {bayesDccGarch}

Log-returns of daily indices of stock markets in Frankfurt, Paris and Tokio

Description

The matrix DaxCacNik contains daily observations of the hundredfold log-returns of daily indices of stock markets in Frankfurt (DAX), Paris (CAC40) and Tokyo (NIKKEI), from 10 October 1991 until 30 December 1997 (a total of 1627 days). The stock market data is freely available at https://robjhyndman.com/tsdldata/data/FVD1.dat.

Usage

data(DaxCacNik)

Author(s)

Jose Augusto Fiorucci, Ricardo Sandes Ehlers and Francisco Louzada

References

Fioruci, J.A., Ehlers, R.S. Andrade Filho, M.G. Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions, Journal of Applied Statistics, 41(2), 320–331, 2014. <doi:10.1080/02664763.2013.839635>