getDSdata: Get DS Dataset

In FatTailsR: Kiener Distributions and Fat Tails in Finance

Description

A function to extract the log-returns of 16 financial series and time series provided by the packages datasets (EuStockMarkets, sunspot.year) and timeSeries (USDCHF, MSFT, LPP2005REC). The 16 datasets are converted to a list of numeric without any reference to the original dates. This list is usually called DS, hence the name.

Usage

getDSdata()

Details

The dataset is usually created by the instruction DS <- getDSdata(). Then, it is used with a call to DS[[j]] with j in 1:16.

1. "USDCHF" (USDCHF, timeSeries)

2. "MSFT" (MSFT, timeSeries)

3. "DAX" (EuStockMarkets, datasets)

4. "SMI" (EuStockMarkets, datasets)

5. "CAC" (EuStockMarkets, datasets)

6. "FTSE" (EuStockMarkets, datasets)

7. "SBI" (LPP2005REC, timeSeries)

8. "SPI" (LPP2005REC, timeSeries)

9. "SII" (LPP2005REC, timeSeries)

10. "LMI" (LPP2005REC, timeSeries)

11. "MPI" (LPP2005REC, timeSeries)

12. "ALT" (LPP2005REC, timeSeries)

13. "LPP25" (LPP2005REC, timeSeries)

14. "LPP40" (LPP2005REC, timeSeries)

15. "LPP60" (LPP2005REC, timeSeries)

16. "sunspot" (sunspot.year, datasets)

Note that sunspot.year is regularly updated with each new version of R. The generated dataset is logreturn(sunspot.year + 1000).

See Also

EuStockMarkets, sunspot.year, TimeSeriesData, regkienerLX, fitkienerX

Examples

   

require(timeSeries) 

getDSdata
DS  <- getDSdata()
attributes(DS)
sapply(DS, length)
sapply(DS, head)

FatTailsR documentation built on March 12, 2021, 9:06 a.m.