index_return: Stock Market Index Return Data

index_returnR Documentation

Stock Market Index Return Data

Description

The stock market returns are recorded for four countries viz., United States (S&P500), Japan (NIKKEI225), Germany (DAX Index), and South Korea (KOSPI). Specifically log return rates (as computed in Section 5 of \Sexpr[results=rd]{tools:::Rd_expr_doi("10.3390/axioms11090462")}) are recorded for 5 months in the year 2009 for all the four countries, where these rates are considered to be Student's t-distributed and used for the purpose of estimating the corresponding degrees of freedom using a Bayesian model-based framework, developed in \Sexpr[results=rd]{tools:::Rd_expr_doi("10.3390/axioms11090462")}.

Usage

index_return

Format

A data frame with 4 columns:

Country

name of the country to which the log return rate corresponds to: 'United States', 'Japan', 'Germany', and 'South Korea'

log_return_rate

value of the log return rate

time_index

an index for the log return rate observations

date

the date on which the log return rate was recorded

Source

(Lee, 2022), \Sexpr[results=rd]{tools:::Rd_expr_doi("10.3390/axioms11090462")}.


bayesestdft documentation built on April 3, 2025, 7:46 p.m.