trends {fDMA}

Google Trends for Crude Oil Data.

Description

Google Trends for Crude Oil Data.

Usage

data(trends)

Format

trends is xts object such that

• trends$stock_markets – Google Trends for "stock markets"

• trends$interest_rate – Google Trends for "interest rate"

• trends$economic_activity – Google Trends for "economic activity"

• trends$exchange_rate – Google Trends for "exchange rate"

• trends$oil_production – Google Trends for "oil production"

• trends$oil_consumption – Google Trends for "oil consumption"

• trends$market_stress – Google Trends for "market stress"

Details

The data are in monthly frequency. They cover the period between Jan, 2004 and Dec, 2016.

Source

The data are provided by Google.

https://trends.google.com/trends

Examples

data(trends)
gtrends <- trends/100
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,]
ld.wti <- ld.wti['2004-01-01-/']
ld.drivers <- ld.drivers['2004-01-01-/']

xx <- ld.drivers
m <- fDMA(y=ld.wti,x=xx,alpha=0.99,lambda=0.99,initvar=1,model="dma",gprob=gtrends,omega=0.5)