rdj {copula} | R Documentation |
Five years of daily log-returns (from 1996 to 2000) of the Intel (INTC), Microsoft (MSFT) and General Electric (GE) stocks. These data were analysed in Chapter 5 of McNeil, Frey and Embrechts (2005).
data(rdj)
A data frame of 1262 daily log-returns from 1996 to 2000.
DATE
INTC
MSFT
GE
A.J. McNeil, R. Frey and P. Embrechts (2005), Quantitative risk management, Princeton University Press, Princeton Series in Finance, New Jersey.
data(rdj)