logReturnsRandDollar {micss}

Data used in the examples

Description

Log returns of the exchange rate South African Rand versus United States Dollar.

Usage

data(logReturnsRandDollar)

Value

Time series with 7705 observations.

Author(s)

J.L. Carrion-i-Silvestre and A. Sansó

Source

Paulo Rodrigues

References

J.L. Carrion-i-Silvestre & A. Sansó (2023): Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series.

Examples

data(logReturnsRandDollar)
names(data)
# The following example replicates some of the results of Table 6 in
# Carrion-i-Silvestres & Sanso (2023)

data(logReturnsRandDollar)
e <- whitening(data$rand.dollar)$e  # pre-whitening
m <- micss(e)
print.micss(m)