sp500: Daily returns and 5-minute realized variance for the SP500.

In lucatrapin/FinEx: Financial econometrics analysis with extreme value statistics

Description

Daily observations from 2000 to 2014 from the Oxford-Man Realized library (Heber et al., 2009). These time series were used in the empirical analysis by Bee and Trapin (2018).

Usage

data(sp500)

Format

An object of class data.frame with 3744 rows and 3 columns.

References

Heber, G., Lunde, A., Shephard, N., and Sheppard, K. (2009). Oxford-Man Institute’s realized library, version 0.1.

Bee, M., and Trapin, L. (2018). Estimating and forecasting conditional risk measures with extreme value theory: A review. Risks, 6(2), 45.

Examples

data(sp500)
returns <- sp500$r
realized_variance <- sp500$rv

lucatrapin/FinEx documentation built on Dec. 21, 2021, 11:52 a.m.