The data matrix VodafoneCDS is used for the examples. It consists of 804 daily observations, from 1 January 2009 to 31 January 2012, of Vodafone's Credit Default Swap prices (the 'CDS' column) and the credit spread on its bond over the risk-free rate (the 'SWSP' column). For more information, see Ahlgren and Catani (2016), who used the same data set.
Ahlgren, N. & Catani, P. (2016). Wild bootstrap tests for autocorrelation in vector autoregressive models. Stat Papers, <doi:10.1007/s00362-016-0744-0>.