IndexReturns


A dataset containing the log returns of 4 european stock indices in the time period 1991 - 1998.


Several GoF tests for Copulae are provided. A new hybrid test is implemented which supports all of the individual tests. Estimation methods for the margins are provided. All the tests support parameter estimation and predefined values. The parameters are estimated by pseudo maximum likelihood but if it fails the estimation switches automatically to inversion of Kendall's tau. All the tests support automatized parallelization of the bootstrapping tasks.

Simon Trimborn

gofCopula

Goodness-of-Fit Tests for Copulae

IndexReturns function

Format

The raw data are part of the R datasets and were kindly provided by 
Erste Bank AG, Vienna, Austria.

IndexReturns: Log returns of european stock indices.

Description

Usage

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