benchmark


  Data set for logged stock indices in three benchmark markets, US,UK and HK.
These three markets are generally believed to be fully integrated with the 
word market, thus they may share a single stochastic common trend. 


Directly extract and plot stochastic common trends from
a cointegration system using different approaches, currently
including Kasa (1992) and Gonzalo and Granger (1995).
The approach proposed by Gonzalo and Granger, also known as
Permanent-Transitory Decomposition, is widely used in
macroeconomics and market microstructure literature.
Kasa's approach, on the other hand, has a nice property that it only
uses the super consistent estimator: the cointegration vector
'beta'.
This package also provides functions calculate P-value
from Johansen Statistics according to the approximation method
proposed by Doornik (1998).
Update:
0.7-1: Fix bugs in calculation alpha. Add formulas and more explanations.
0.6-1: Rewrite the description file.
0.5-1: Add functions to calculate P-value from Johansen statistic, and vice versa.

Fan Yang

CommonTrend

Extract and plot common trends from a cointegration system.
Calculate P-value for Johansen Statistics.

benchmark function

A data frame with 6689 observations on the following 4 variables,
  ranging from 2/1/1986 until 23/8/2011. <table><tr><td>
    <code>date</code> </td>
</tr><tr><td> Date vector. </td>
</tr><tr><td>
    <code>uk</code> </td>
</tr><tr><td> Logged price of FTSE 100. </td>
</tr><tr><td>
    <code>us</code> </td>
</tr><tr><td> Logged price of S&P 500. </td>
</tr><tr><td>
    <code>hk</code> </td>
</tr><tr><td> Logged price of HangSeng. </td>
</tr></table>

benchmark: Data set for logged stock indices in three benchmark markets

Description

Usage

Arguments

Format

Source