dmbp: data: Deutschemark/British pound Exchange Rate
In LAJordanger/localgaussSpec: Local Gaussian Spectral Analysis
dmbp R Documentation
data: Deutschemark/British pound Exchange Rate
Description
The Bollerslev-Ghysel benchmark dataset. The variables in the data set are:
1. The daily percentage nominal returns computed as 100 [ln(Pt) - ln(Pt-1)],
where Pt is the bilateral Deutschemark/British pound rate constructed from the
corresponding U.S. dollar rates.
2. A dummy variable that takes the value of 1 on Mondays and other days
following no trading in the Deutschemark or British pound/ U.S. dollar market
during regular European trading hours and 0 otherwise.
Usage
data(dmbp)
Format
A data.frame containing 2x1974 observations.
Source
The data-set and this description was taken from the
rugarch-package. It has been included here in case a user
would like to test out the script that investigate the dmbp-set
without having to install the rugarch-package first.
References
Bollerslev, T. and Ghysels, E. 1996, Periodic Autoregressive Conditional
Heteroscedasticity , Journal of Business and Economic Statistics, 14,
139–151.
LAJordanger/localgaussSpec documentation built on May 6, 2023, 4:31 a.m.
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| dmbp | R Documentation |
data: Deutschemark/British pound Exchange Rate
Description
The Bollerslev-Ghysel benchmark dataset. The variables in the data set are:
1. The daily percentage nominal returns computed as 100 [ln(Pt) - ln(Pt-1)],
where Pt is the bilateral Deutschemark/British pound rate constructed from the
corresponding U.S. dollar rates.
2. A dummy variable that takes the value of 1 on Mondays and other days
following no trading in the Deutschemark or British pound/ U.S. dollar market
during regular European trading hours and 0 otherwise.
Usage
data(dmbp)Format
A data.frame containing 2x1974 observations.
Source
The data-set and this description was taken from the
rugarch-package. It has been included here in case a user
would like to test out the script that investigate the dmbp-set
without having to install the rugarch-package first.
References
Bollerslev, T. and Ghysels, E. 1996, Periodic Autoregressive Conditional Heteroscedasticity , Journal of Business and Economic Statistics, 14, 139–151.
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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