exch

Harvey et al. (1994) presented daily observations for the weekday closing exchange rates for
the U.K. Sterling/U.S. Dollar from 1/10/81 to 28/6/85.

Allows various models for multivariate response variables where each response is assumed to follow double hierarchical generalized linear models. In double hierarchical generalized linear models, the mean, dispersion parameters for variance of random effects, and residual variance can be further modeled as random-effect models.

Maengseok Noh

mdhglm

Multivariate Double Hierarchical Generalized Linear Models

exch function

A data frame with 944 observations on the following 4 variables.<dl class="dl-horizontal">
 <dt><code>rt</code></dt><dd>exchange rate at time t</dd>
 <dt><code>yt</code></dt><dd>mean-correted returns</dd>
 <dt><code>yt1</code></dt><dd>one lag of yt</dd>
 <dt><code>yt12</code></dt><dd>yt1*yt1</dd>
 </dl>

Format

Pound-dollar Exchange-rate Data — exch

A data frame with 944 observations on the following 4 variables.<dl class='dl-horizontal'>
 <dt><code>rt</code></dt><dd>exchange rate at time t</dd>
 <dt><code>yt</code></dt><dd>mean-correted returns</dd>
 <dt><code>yt1</code></dt><dd>one lag of yt</dd>
 <dt><code>yt12</code></dt><dd>yt1*yt1</dd>
 </dl>

exch: Pound-dollar Exchange-rate Data

Description

Usage

Arguments

Format

References