<p>Data frame containg xres (standardized residuals of gas prices from a ARMA(2,2) model) and  yres (standardized residuals of oil prices from a ARMA(1,1)-GARCH(1,1) model).</p>

datasets

Computation of test statistics of independence between  (continuous) innovations of time series. They can be used with stochastic volatility models and Hidden Markov Models (HMM). This improves the results in Duchesne, Ghoudi & Remillard (2012) <doi:10.1002/cjs.11141>.

Bruno Remillard

IndGenErrors

Tests of Independence Between Innovations of Generalized Error
Models

Kilani Ghoudi

Pierre Duchesne

gas function

Format

Standardized residuals of weekly log-returns of gas and oil prices in Canada from 2008 to end of February 2011 — gas

Standardized residuals of weekly log-returns of gas and oil prices in Canada from 2008 to end of February 2011

gas: Standardized residuals of weekly log-returns of gas and oil prices in Canada from 2008 to end of February 2011

Description

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Examples