sys.risk: The Data Set for Systemic Risk Analysis
In quantilogram: Cross-Quantilogram
sys.risk R Documentation
The Data Set for Systemic Risk Analysis
Description
The data set contains the daily CRSP market value weighted index returns,
which are used as the market index returns in Brownless and Engle (2012), and
also includes daily stock returns on JP Morgan Chase (JPM), Goldman Sachs (GS)
and American International Group (AIG).
The sample period is from 2 Jan. 2001 to 30 Dec. 2011 with sample size 2,767.
Usage
data(sys.risk)
Format
A data object with five variables
Details
date: The time index (day)
Market: The daily CRSP market value weighted incex returns
JPM: stock returns on JP Morgan Chase (JPM)
GS: stock returns on Goldman Sachs (GS)
AIG: stock returns on American International Group (AIG)
References
Brownlees, Christian T., and Robert F. Engle. "Volatility, correlation and tails for systemic risk measurement." Available at SSRN 1611229 (2012).
Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016).
"The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series."
Journal of Econometrics, 193(1), 251-270.
quantilogram documentation built on March 18, 2022, 5:29 p.m.
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| sys.risk | R Documentation |
The Data Set for Systemic Risk Analysis
Description
The data set contains the daily CRSP market value weighted index returns, which are used as the market index returns in Brownless and Engle (2012), and also includes daily stock returns on JP Morgan Chase (JPM), Goldman Sachs (GS) and American International Group (AIG). The sample period is from 2 Jan. 2001 to 30 Dec. 2011 with sample size 2,767.
Usage
data(sys.risk)
Format
A data object with five variables
Details
date: The time index (day)
Market: The daily CRSP market value weighted incex returns
JPM: stock returns on JP Morgan Chase (JPM)
GS: stock returns on Goldman Sachs (GS)
AIG: stock returns on American International Group (AIG)
References
Brownlees, Christian T., and Robert F. Engle. "Volatility, correlation and tails for systemic risk measurement." Available at SSRN 1611229 (2012).
Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016). "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series." Journal of Econometrics, 193(1), 251-270.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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