euro07

euro07gf

euro07names

Log returns and GARCH filtered values of log returns for 
OSEAX FTSE AEX FCHI SSMI GDAXI ATX 
(market indexes in Norway, UK, Holland, France, Switzerland, Germany,
Austria). This is a small data set with n=239 that can be used
for illustration of functions for fitting vine and factor copulas. The
original source is http://quote.yahoo.com
euro07gf has two objects: (i) euro07names has the above labels
for the markets and (ii) euro07lr is a list with several matrices
given below.

datasets

Inference methods for factor copula models for continuous data in Krupskii and Joe (2013) <doi:10.1016/j.jmva.2013.05.001>, Krupskii and Joe (2015) <doi:10.1016/j.jmva.2014.11.002>, Fan and Joe (2024) <doi:10.1016/j.jmva.2023.105263>, one factor truncated vine models in Joe (2018) <doi:10.1002/cjs.11481>, and Gaussian oblique factor models. Functions for computing tail-weighted dependence measures in Lee, Joe and Krupskii (2018) <doi:10.1080/10485252.2017.1407414> and estimating tail dependence parameter.

Pavel Krupskii

FactorCopulaModel

Factor Copula Models

Harry Joe

Xinyao Fan

Allan Macleod

Robert Gentleman

Ross Ihaka

euro07 function

The following are components.<dl>
<dt>filter</dt>
<dd>239x7 matrix of GARCH filtered returns</dd>
<dt>uscore</dt>
<dd>239x7 matrix of empirical U(0,1) scores of GARCH filtered returns</dd>
<dt>zscore</dt>
<dd>239x7 matrix of empirical normal scores of GARCH filtered returns</dd>
<dt>uscmodel</dt>
<dd>239x7 matrix of U(0,1) scores of GARCH filtered returns
based on assuming standardized Student t distributions for the innovations</dd>
<dt>zscmodel</dt>
<dd>239x7 matrix of normal scores of GARCH filtered returns
based on assuming standardized Student t distributions for the innovations</dd>
<dt>sigmat</dt>
<dd>239x7 matrix of volatilities</dd>
<dt>coef</dt>
<dd>5x7 matrix of GARCH parameter estimates</dd>rows are mu, omega, alpha1, beta1, shape,
where 'shape' is the shape or degree of freedom parameter for the 
Student t innovations.
</dl>

Format

log returns and GARCH-filtered log returns for some Euro markets 2007 — euro07

The following are components.<dl>
<dt>filter</dt>
<dd>239x7 matrix of GARCH filtered returns</dd>


<dt>uscore</dt>
<dd>239x7 matrix of empirical U(0,1) scores of GARCH filtered returns</dd>


<dt>zscore</dt>
<dd>239x7 matrix of empirical normal scores of GARCH filtered returns</dd>


<dt>uscmodel</dt>
<dd>239x7 matrix of U(0,1) scores of GARCH filtered returns
based on assuming standardized Student t distributions for the innovations</dd>


<dt>zscmodel</dt>
<dd>239x7 matrix of normal scores of GARCH filtered returns
based on assuming standardized Student t distributions for the innovations</dd>


<dt>sigmat</dt>
<dd>239x7 matrix of volatilities</dd>


<dt>coef</dt>
<dd>5x7 matrix of GARCH parameter estimates</dd>

rows are mu, omega, alpha1, beta1, shape,
where 'shape' is the shape or degree of freedom parameter for the 
Student t innovations.
</dl>

log returns and GARCH-filtered log returns for some Euro markets 2007

euro07: log returns and GARCH-filtered log returns for some Euro markets 2007

Description

Usage

Arguments

Format