fDMA (version 2.2.7)

crudeoil: Crude Oil Data.

Description

Selected data from oil market.

Usage

data(crudeoil)

Format

crudeoil is xts object such that

• crudeoil$WTI -- WTI spot price in USD per barrel

• crudeoil$MSCI -- MSCI World Index

• crudeoil$TB3MS -- U.S. 3-month treasury bill secondary market rate in %

• crudeoil$CSP -- Crude steel production in thousand tonnes

• crudeoil$TWEXM -- Trade weighted U.S. dollar index (Mar, 1973 = 100)

• crudeoil$PROD -- U.S. product supplied for crude oil and petroleum products in thousands of barrels

• crudeoil$CONS -- Total consumption of petroleum products in OECD in quad BTU

• crudeoil$VXO -- Implied volatility of S&P 100

Details

The data are in monthly frequency. They cover the period between Jan, 1990 and Dec, 2016.

Examples

data(crudeoil)
wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- (diff(log(drivers)))[-1,]
# \donttest{
m <- fDMA(y=ld.wti,x=ld.drivers,alpha=0.99,lambda=0.99,initvar=1,model="dma")
# }