indices

Monthly returns of indices representing five asset/investment classes
 Bonds, Stocks, Commodities, Emerging
 Markets and High Yield Bonds.

datasets

Detailed functionality for working
with the univariate and multivariate Generalized Hyperbolic
distribution and its special cases (Hyperbolic (hyp), Normal
Inverse Gaussian (NIG), Variance Gamma (VG), skewed Student-t
and Gaussian distribution). Especially, it contains fitting
procedures, an AIC-based model selection routine, and functions
for the computation of density, quantile, probability, random
variates, expected shortfall and some portfolio optimization
and plotting routines as well as the likelihood ratio test. In
addition, it contains the Generalized Inverse Gaussian
distribution. See Chapter 3 of A. J. McNeil, R. Frey, and P. Embrechts.
Quantitative risk management: Concepts, techniques and tools.
Princeton University Press, Princeton (2005).

Marc Weibel

ghyp

Generalized Hyperbolic Distribution and Its Special Cases

David Luethi

Henriette-Elise Breymann

indices function

<dl>
 <dt><code>hy.bond</code></dt>
<dd>JPMorgan High Yield Bond A (Yahoo symbol &#8220;OHYAX&#8221;).</dd> <dt><code>emerging.mkt</code></dt>
<dd>Morgan Stanley Emerging Markets Fund Inc. (Yahoo symbol &#8220;MSF&#8221;).</dd> <dt><code>commodity</code></dt>
<dd>Dow Jones-AIG Commodity Index (Yahoo symbol &#8220;DJI&#8221;).</dd> <dt><code>bond</code></dt>
<dd>Barclays Global Investors Bond Index (Yahoo symbol &#8220;WFBIX&#8221;).</dd> <dt><code>stock</code></dt>
<dd>Vanguard Total Stock Mkt Idx (Yahoo symbol &#8220;VTSMX&#8221;).</dd> 
</dl>

Format

Monthly returns of indices representing five asset/investment classes
 Bonds, Stocks, Commodities, Emerging
 Markets and High Yield Bonds.

Monthly returns of five indices — indices

<dl>
 <dt><code>hy.bond</code></dt>
<dd>JPMorgan High Yield Bond A (Yahoo symbol &#8220;OHYAX&#8221;).</dd>

 <dt><code>emerging.mkt</code></dt>
<dd>Morgan Stanley Emerging Markets Fund Inc. (Yahoo symbol &#8220;MSF&#8221;).</dd>

 <dt><code>commodity</code></dt>
<dd>Dow Jones-AIG Commodity Index (Yahoo symbol &#8220;DJI&#8221;).</dd>

 <dt><code>bond</code></dt>
<dd>Barclays Global Investors Bond Index (Yahoo symbol &#8220;WFBIX&#8221;).</dd>

 <dt><code>stock</code></dt>
<dd>Vanguard Total Stock Mkt Idx (Yahoo symbol &#8220;VTSMX&#8221;).</dd>

 
</dl>

indices: Monthly returns of five indices

Description

Usage

Arguments

Format

See Also

Examples