data: Multiple Time Series Data Set

Description References

Description

The data matrix VodafoneCDS is used for the examples. It consists of 804 daily observations, from 1 January 2009 to 31 January 2012, of Vodafone's Credit Default Swap prices (the 'CDS' column) and the credit spread on its bond over the risk-free rate (the 'SWSP' column). For more information, see Ahlgren and Catani (2016), who used the same data set.

References

Ahlgren, N. & Catani, P. (2016). Wild bootstrap tests for autocorrelation in vector autoregressive models. Stat Papers, <doi:10.1007/s00362-016-0744-0>.


VARtests documentation built on May 2, 2019, 5:03 a.m.

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