logReturnsRandDollar: Data used in the examples

In micss: Modified Iterative Cumulative Sum of Squares Algorithm

Data used in the examples

Description

Log returns of the exchange rate South African Rand versus United States Dollar.

Usage

data(logReturnsRandDollar)

Value

Time series with 7705 observations.

Author(s)

J.L. Carrion-i-Silvestre and A. Sansó.

Source

Paulo Rodrigues

References

J.L. Carrion-i-Silvestre & A. Sansó (2023): Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series.

Examples

data(logReturnsRandDollar)
names(data)

# The following example replicates some of the results of Table 6 in
# Carrion-i-Silvestres & Sanso (2023)
data(logReturnsRandDollar)
e <- whitening(data$rand.dollar)$e  # pre-whitening
m <- micss(e)
print.micss(m)

micss documentation built on Sept. 11, 2024, 6:46 p.m.