logReturns

<p>The dataset <code>logReturns</code> contains four columns:
  <code>date_USD</code> and <code>USD</code> give the date and value of the monthly maxima
  of the log-return exchange rate GBP/USD, while <code>date_JPY</code> and <code>JPY</code>
  give the date and value of the monthly maxima of the log-return exchange rate
  GBP/JPY.</p>

datasets

A set of procedures for parametric and non-parametric modelling of the dependence structure of multivariate extreme-values is provided. The statistical inference is performed with non-parametric estimators, likelihood-based estimators and Bayesian techniques. It adapts the methodologies of Beranger and Padoan (2015) <doi:10.48550/arXiv.1508.05561>, Marcon et al. (2016) <doi:10.1214/16-EJS1162>, Marcon et al. (2017) <doi:10.1002/sta4.145>, Marcon et al. (2017) <doi:10.1016/j.jspi.2016.10.004> and Beranger et al. (2021) <doi:10.1007/s10687-019-00364-0>. This package also allows for the modelling of spatial extremes using flexible max-stable processes. It provides simulation algorithms and fitting procedures relying on the Stephenson-Tawn likelihood as per Beranger at al. (2021) <doi:10.1007/s10687-020-00376-1>.

Simone Padoan

ExtremalDep

Extremal Dependence Models

Boris Beranger

Giulia Marcon

Steven G. Johnson

Rudolf Schuerer 

Brian Gough 

Alec G. Stephenson

Anne Sabourin

Philippe Naveau

logReturns function

<p>A \(286 \times 4\) matrix. The first and third columns are of type
  <code>"character"</code>, while the second and fourth columns are of type
  <code>"numeric"</code>.</p>

Format

Monthly maxima of log-return exchange rates of the Pound Sterling (GBP)
against the US dollar (USD) and the Japanese yen (JPY), between March 1991 and
December 2014 — logReturns

Monthly maxima of log-return exchange rates of the Pound Sterling (GBP)
against the US dollar (USD) and the Japanese yen (JPY), between March 1991 and
December 2014

logReturns: Monthly maxima of log-return exchange rates of the Pound Sterling (GBP) against the US dollar (USD) and the Japanese yen (JPY), between March 1991 and December 2014

Description

Arguments

Format