| crudeoil {fDMA} | R Documentation |
Crude Oil Data.
Description
Selected data from oil market.
Usage
data(crudeoil)Format
crudeoil is xts object such that
-
crudeoil$WTI– WTI spot price in USD per barrel -
crudeoil$MSCI– MSCI World Index -
crudeoil$TB3MS– U.S. 3-month treasury bill secondary market rate in % -
crudeoil$CSP– Crude steel production in thousand tonnes -
crudeoil$TWEXM– Trade weighted U.S. dollar index (Mar, 1973 = 100) -
crudeoil$PROD– U.S. product supplied for crude oil and petroleum products in thousands of barrels -
crudeoil$CONS– Total consumption of petroleum products in OECD in quad BTU -
crudeoil$VXO– Implied volatility of S&P 100
Details
The data are in monthly frequency. They cover the period between Jan, 1990 and Dec, 2016.
Source
The data are provided by CBOE, Federal Reserve Bank of St. Louis, MSCI, U.S. Energy Information Administration and World Steel Association.
Examples
data(crudeoil)
wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- (diff(log(drivers)))[-1,]
m <- fDMA(y=ld.wti,x=ld.drivers,alpha=0.99,lambda=0.99,initvar=1,model="dma")