Stock: Dataset. Yearly maxima of Log Returns of ten stock indices...

In satdad: Sensitivity Analysis Tools for Dependence and Asymptotic Dependence

Dataset. Yearly maxima of Log Returns of ten stock indices 1990-2015.

Description

This dataset consists of a matrix with years as rows and columns as stock indices. They appear in the following order: "SP500", "DJ", "NASD", "SMI", "EURS", "CAC", "DAX", "HSI", "SSEC", "NIKK". A cell gives the yearly maximum of Log Returns of the associated stock indices. The latter values have been extracted from the R package qrmdata of Hofert, M., Hornik, K. and McNeil, A.J. (2019).

Author(s)

Cécile Mercadier ([e-mail])

References

Hofert, M., Hornik, K. and McNeil, A.J. (2019). qrmdata: Data Sets for Quantitative Risk Management Practice. R package version 2019-12-03-1 URL https://CRAN.R-project.org/package=qrmdata.

Mercadier, C. and Roustant, O. (2019) The tail dependograph. Extremes, 22, 343–372.

See Also

graphsEmp

Examples

data(Stock)

## We reproduce below Figure 7(a) of Mercadier and Roustant (2019).

graphsEmp(Stock, k = 26, which = "taildependograph", names = colnames(Stock))

## We reproduce below Figure 8(a) of Mercadier and Roustant (2019).

graphsEmp(Stock, k = 26, which = "taildependograph", names = colnames(Stock), select = 9)

## We reproduce below Figure 8(b) of Mercadier and Roustant (2019).

graphsEmp(Stock, k = 26, which = "taildependograph", names = colnames(Stock), select = 20)

satdad documentation built on March 31, 2023, 11:34 p.m.