R/data.R

In tvatter/gamCopula: Generalized Additive Models for Bivariate Conditional Dependence Structures and Vine Copulas

#' #' @name FXreturns
#' #' @title Foreign exchange intraday returns
#' #' @description 5mn log-returns on the EUR/USD, EUR/GBP, JPY/USD and USD/CHF
#' #' exchange rates from the beginning of 2010 to the end of 2013. FX "trading
#' #' days" are from 21:05 GMT the night before until 21:00 GMT that evening, and
#' #' weekends start on Friday at 21:05 GMT and last until Sunday at 21:00 GMT.
#' #'
#' #' A number of days are excluded from the sample: the fixed holidays of
#' #' Christmas (December 24 - December 26) and
#' #' New Year's (December 31 - January 2),
#' #' as well as the moving holidays of Martin Luther King's Day,
#' #' President's Day, Good Friday, Memorial Day, July Fourth
#' #' (also when it is observed on July 3 or 5), Labor Day and Thanksgiving.
#' #'
#' #' The resulting sample has 998 days of data, containing 287424 5mn returns.
#' #' @docType data
#' #' @usage
#' #' data(FXreturns)
#' NULL