rdj {copula}R Documentation

Daily Returns of Three Stocks in Dow-Jones

Description

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).

Usage

data(rdj)

Format

A data frame of 1262 daily log-returns from 1996 to 2000.

DATE
a character vector specifying the date
INTC
daily log-return of the Intel stock
MSFT
daily log-return of the Microsoft stock
GE
daily log-return of the General Electric

References

A.J. McNeil, R. Frey and P. Embrechts (2005), Quantitative risk management, Princeton University Press, Princeton Series in Finance, New Jersey.

Examples

data(rdj)

[Package copula version 0.8-12 Index]