| sys.risk {quantilogram} | R Documentation |
The Data Set for Systemic Risk Analysis
Description
The data set contains the daily CRSP market value weighted index returns, which are used as the market index returns in Brownless and Engle (2012), and also includes daily stock returns on JP Morgan Chase (JPM), Goldman Sachs (GS) and American International Group (AIG). The sample period is from 2 Jan. 2001 to 30 Dec. 2011 with sample size 2,767.
Usage
data(sys.risk)
Format
A data object with five variables
Details
date: The time index (day)
Market: The daily CRSP market value weighted incex returns
JPM: stock returns on JP Morgan Chase (JPM)
GS: stock returns on Goldman Sachs (GS)
AIG: stock returns on American International Group (AIG)
References
Brownlees, Christian T., and Robert F. Engle. "Volatility, correlation and tails for systemic risk measurement." Available at SSRN 1611229 (2012).
Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016). "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series." Journal of Econometrics, 193(1), 251-270.