worldindices


This data set contains transformed standardized residuals of daily log returns of major world stock indices in 2009 and 2010. 
The considered indices are the leading stock exchanges of the six largest economies in the world:
the US American S&P 500, the Japanese Nikkei 225, the Chinese SSE Composite Index, the German DAX, the French CAC 40 and the British FTSE 100 Index.
Each time series is filtered using an ARMA(1,1)-GARCH(1,1) model with Student t innovations.


Functions for statistical inference of canonical vine (C-vine)
and D-vine copulas. Tools for bivariate exploratory data analysis and for bivariate
as well as vine copula selection are provided. Models can be estimated
either sequentially or by joint maximum likelihood estimation.
Sampling algorithms and plotting methods are also included.
Data is assumed to lie in the unit hypercube (so-called copula
data).

Tobias Erhardt

CDVine

Statistical Inference of C- And D-Vine Copulas

worldindices function

A data frame with 396 observations on 6 variables. Column names correspond to ticker symbols of the indices.

worldindices: Major World Indices

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