A dataset containing the stockmarket returns between 2000-04-03 and 2017-12-05. This dataset is very close to the one used by Choi & Shin (2021), although not strictly identical. It has been produced by the Oxford-Man Institute of Quantitative Finance.
stockpriceA data frame with 4618 rows and 7 variables:
a vector of Date.
a numeric vector of the stockmarket return for the S&P 500 Index.
a numeric vector of the stockmarket return for the FTSE 100.
a numeric vector of the stockmarket return for the Nikkei 225.
a numeric vector of the stockmarket return for the German stock index.
a numeric vector of the stockmarket return for the Nasdaq Stock Market.
a character string of particular events that have impacted the stockmarket, as in Choi & Shin (2021).
Heber, Gerd, Asger Lunde, Neil Shephard and Kevin Sheppard (2009) "Oxford-Man Institute's realized library", Oxford-Man Institute, University of Oxford.
Choi, JE., Shin, D.W. Nonparametric estimation of time varying correlation coefficient. J. Korean Stat. Soc. 50, 333–353 (2021). tools:::Rd_expr_doi("10.1007/s42952-020-00073-6")
datasets::EuStockMarkets for a similar dataset, albeit formatted differently.