crudeoil: Crude Oil Data.

In fDMA: Dynamic Model Averaging and Dynamic Model Selection for Continuous Outcomes

Crude Oil Data.

Description

Selected data from oil market.

Usage

data(crudeoil)

Format

crudeoil is xts object such that

• crudeoil$WTI – WTI spot price in USD per barrel

• crudeoil$MSCI – MSCI World Index

• crudeoil$TB3MS – U.S. 3-month treasury bill secondary market rate in %

• crudeoil$CSP – Crude steel production in thousand tonnes

• crudeoil$TWEXM – Trade weighted U.S. dollar index (Mar, 1973 = 100)

• crudeoil$PROD – U.S. product supplied for crude oil and petroleum products in thousands of barrels

• crudeoil$CONS – Total consumption of petroleum products in OECD in quad BTU

• crudeoil$VXO – Implied volatility of S&P 100

Details

The data are in monthly frequency. They cover the period between Jan, 1990 and Dec, 2016.

Source

The data are provided by CBOE, Federal Reserve Bank of St. Louis, MSCI, U.S. Energy Information Administration and World Steel Association.

https://www.cboe.com

https://www.eia.gov

https://fred.stlouisfed.org

https://www.msci.com

https://worldsteel.org

Examples

data(crudeoil)
wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- (diff(log(drivers)))[-1,]

m <- fDMA(y=ld.wti,x=ld.drivers,alpha=0.99,lambda=0.99,initvar=1,model="dma")

fDMA documentation built on July 26, 2023, 6:09 p.m.