stockreturns

Data from 5-week-day daily stock returns (rt = 100 x log(Pt/Pt-1), where Pt is the adjusted close price) of two indexes, S&amp;P500 and DJIA, from November 11th 2011 to September 1st 2021.
The dataset also includes the interest rate spread, the 10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity.
The data was retrieved from FRED.

datasets

Provides routines to estimate the Mixture Transition Distribution Model based on Raftery (1985) <http://www.jstor.org/stable/2345788> and Nicolau (2014) <doi:10.1111/sjos.12087> specifications, for multivariate data. Additionally, provides a function for the estimation of a new model for multivariate non-homogeneous Markov chains. This new specification, Generalized Multivariate Markov Chains (GMMC) was proposed by Carolina Vasconcelos and Bruno Damasio and considers (continuous or discrete) covariates exogenous to the Markov chain.

Carolina Vasconcelos

GenMarkov

Multivariate Markov Chains

Bruno Damasio

stockreturns function

A tibble with 2,581 rows and 4 columns:
<dl>
 <dt>date</dt>
<dd>yyyy-mm-dd of the closing price</dd> <dt>sp500</dt>
<dd>S&amp;P500 returns' quantiles</dd> <dt>djia</dt>
<dd>DJIA returns' quantiles</dd> <dt>spread_1</dt>
<dd>Lagged 10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity</dd> <dt>returns_sp500</dt>
<dd>S&amp;P500 returns</dd> <dt>djia</dt>
<dd>DJIA returns</dd>
</dl>

Format

Stock returns data — stockreturns

A tibble with 2,581 rows and 4 columns:
<dl>
 <dt>date</dt>
<dd>yyyy-mm-dd of the closing price</dd>

 <dt>sp500</dt>
<dd>S&amp;P500 returns' quantiles</dd>

 <dt>djia</dt>
<dd>DJIA returns' quantiles</dd>

 <dt>spread_1</dt>
<dd>Lagged 10-Year Treasury Constant Maturity Minus 3-Month Treasury Constant Maturity</dd>

 <dt>returns_sp500</dt>
<dd>S&amp;P500 returns</dd>

 <dt>djia</dt>
<dd>DJIA returns</dd>


</dl>

stockreturns: Stock returns data

Description

Usage

Arguments

Format