Stock {satdad} | R Documentation |
Dataset. Yearly maxima of Log Returns of ten stock indices 1990-2015.
Description
This dataset consists of a matrix with years as rows and columns as stock indices. They appear in the following order: "SP500", "DJ", "NASD", "SMI", "EURS", "CAC", "DAX", "HSI", "SSEC", "NIKK". A cell gives the yearly maximum of Log Returns of the associated stock indices. The latter values have been extracted from the R package qrmdata
of Hofert, M., Hornik, K. and McNeil, A.J. (2019).
Author(s)
Cécile Mercadier (mercadier@math.univ-lyon1.fr
)
References
Hofert, M., Hornik, K. and McNeil, A.J. (2019). qrmdata: Data Sets for Quantitative Risk Management Practice. R package version 2019-12-03-1 URL https://CRAN.R-project.org/package=qrmdata.
Mercadier, C. and Roustant, O. (2019) The tail dependograph. Extremes, 22, 343–372.
See Also
Examples
data(Stock)
## We reproduce below Figure 7(a) of Mercadier and Roustant (2019).
graphsEmp(Stock, k = 26, which = "taildependograph", names = colnames(Stock))
## We reproduce below Figure 8(a) of Mercadier and Roustant (2019).
graphsEmp(Stock, k = 26, which = "taildependograph", names = colnames(Stock), select = 9)
## We reproduce below Figure 8(b) of Mercadier and Roustant (2019).
graphsEmp(Stock, k = 26, which = "taildependograph", names = colnames(Stock), select = 20)
[Package satdad version 1.1 Index]