gasoil {copula}

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))