daxreturns

This data set contains transformed standardized residuals of daily log returns of 15 major German stocks represented in the index DAX observed from January 2005 to August 2009.
Each time series is filtered using a GARCH(1,1) model with Student t innovations.

Tools for bivariate exploratory data analysis, bivariate copula selection and (vine) tree construction are provided. Vine copula models can be estimated either sequentially or by joint maximum likelihood estimation. Sampling algorithms and plotting methods are included. Data is assumed to lie in the unit hypercube (so-called copula data). For C- and D-vines links to the package 'CDVine' are provided.

Thomas Nagler

VineCopula

Statistical Inference of Vine Copulas

daxreturns function

A data frame with 1158 observations on 15 variables. Column names correspond to ticker symbols of the stocks.

daxreturns: Major German Stocks

Description

Arguments

format

source

See Also

Examples