sp500 {extremis}

Standard & Poor 500

Description

Daily Standard and Poor’s index at close from 1988 till 2007.

Usage

sp500

Format

The sp500 data frame has 5043 rows and 2 columns.

References

de Carvalho, M. (2016) Statistics of extremes: Challenges and opportunities. In: Handbook of EVT and its Applications to Finance and Insurance. Eds F. Longin. Hoboken: Wiley.

Einmahl, J. H., Haan, L., and Zhou, C. (2016) Statistics of heteroscedastic extremes. Journal of the Royal Statistical Society: Ser. B, 78(1), 31–51.