StocksBonds

Bivariate data set consisting of daily S&amp;P 500 bond and MSCI World returns from December 1995 to December 2019.

datasets

Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) <doi:10.1007/s00184-007-0130-y>. For an overview, we refer the reader to Fülle et al. (2024) <doi:10.18637/jss.v111.i04>.

Markus J. Fülle

BEKKs

Multivariate Conditional Volatility Modelling and Forecasting

Alexander Lange

Christian M. Hafner

Helmut Herwartz

StocksBonds function

A time series matrix of class mts with 6073 observations on the following 2 variables.<dl>
 <dt>S&amp;P 500 Bonds</dt>
<dd>a numeric vector</dd> <dt>MSCI World</dt>
<dd>a numeric vector</dd> 
</dl>

Format

Daily stock and Bond returns — StocksBonds

A time series matrix of class mts with 6073 observations on the following 2 variables.<dl>
 <dt>S&amp;P 500 Bonds</dt>
<dd>a numeric vector</dd>

 <dt>MSCI World</dt>
<dd>a numeric vector</dd>

 
</dl>

StocksBonds: Daily stock and Bond returns

Description

Usage

Arguments

Format

Examples