smi.stocks

Daily returns from January 2000 to January 2007 of five swiss blue
 chips and the Swiss Market Index (SMI).

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

smi.stocks function

<dl>
 <dt><code>SMI</code></dt>
<dd>Swiss Market Index.</dd> <dt><code>Novartis</code></dt>
<dd>Novartis pharma.</dd> <dt><code>CS</code></dt>
<dd>Credit Suisse.</dd> <dt><code>Nestle</code></dt>
<dd>Nestle.</dd> <dt><code>Swisscom</code></dt>
<dd>Swiss telecom company.</dd> <dt><code>Swiss.Re</code></dt>
<dd>Swiss reinsurer.</dd> 
</dl>

Format

Daily returns from January 2000 to January 2007 of five swiss blue
 chips and the Swiss Market Index (SMI).

Daily returns of five swiss blue chips and the SMI — smi.stocks

<dl>
 <dt><code>SMI</code></dt>
<dd>Swiss Market Index.</dd>

 <dt><code>Novartis</code></dt>
<dd>Novartis pharma.</dd>

 <dt><code>CS</code></dt>
<dd>Credit Suisse.</dd>

 <dt><code>Nestle</code></dt>
<dd>Nestle.</dd>

 <dt><code>Swisscom</code></dt>
<dd>Swiss telecom company.</dd>

 <dt><code>Swiss.Re</code></dt>
<dd>Swiss reinsurer.</dd>

 
</dl>

smi.stocks: Daily returns of five swiss blue chips and the SMI

Description

Usage

Arguments

Format

See Also

Examples