financial_history_appendix: Time points and Financial Events

In bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling

Time points and Financial Events

Description

This page describes about some important financial events in 20th century. This might give some hint when cutting data and why we provides datasets in limited period.

Usage

trading_day

Format

A vector trading_day saves dates of etf_vix.

Outline

• 2000: Dot-com bubble

• 2001: September 11 terror and Enron scandal

• 2003: Iraq war (until 2011)

• 2007 to 2008: Financial crisis (US)

  • 2007: Subprime morgage crisis

  • 2008: Bankrupcy of Lehman Brothers

• 2010 to 2016: European sovereign dept crisis

  • 2010: Greek debt crisis

  • 2011: Italian default

  • 2015: Greek default

  • 2016: Brexit

• 2018: US-China trade war

• 2019: Brexit

• 2020: COVID-19

About Datasets in this package

etf_vix ranges from 2012-01-09 to 2015-06-27 (only weekdays). Each year corresponds to Italian default and Grexit. If you wonder the exact vector of the date, see trading_day vector.

Notice

If you want other time period, see codes in the Github repo for the dataset: ygeunkim/bvhar/data-raw/etf_vix.R

You can download what you want by changing a few lines.

bvhar documentation built on April 4, 2025, 5:22 a.m.