| stockprice {timevarcorr} | R Documentation |
Daily Closing Prices of Major European Stock Indices, April 2000–December 2017
Description
A dataset containing the stockmarket returns between 2000-04-03 and 2017-12-05. This dataset is very close to the one used by Choi & Shin (2021), although not strictly identical. It has been produced by the Oxford-Man Institute of Quantitative Finance.
Usage
stockprice
Format
A data frame with 4618 rows and 7 variables:
- DateID
a vector of
Date.- SP500
a numeric vector of the stockmarket return for the S&P 500 Index.
- FTSE100
a numeric vector of the stockmarket return for the FTSE 100.
- Nikkei
a numeric vector of the stockmarket return for the Nikkei 225.
- DAX
a numeric vector of the stockmarket return for the German stock index.
- NASDAQ
a numeric vector of the stockmarket return for the Nasdaq Stock Market.
- Event
a character string of particular events that have impacted the stockmarket, as in Choi & Shin (2021).
Source
The file was downloaded from the "Oxford-Man Institute's realized library", which no longer exists. At the time, the raw data file was named "oxfordmanrealizedvolatilityindices-0.2-final.zip".
References
Heber, Gerd, Asger Lunde, Neil Shephard and Kevin Sheppard (2009) "Oxford-Man Institute's realized library", Oxford-Man Institute, University of Oxford.
Choi, JE., Shin, D.W. Nonparametric estimation of time varying correlation coefficient. J. Korean Stat. Soc. 50, 333–353 (2021). doi:10.1007/s42952-020-00073-6
See Also
datasets::EuStockMarkets for a similar dataset, albeit formatted differently.