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Daily Equity Market Returns

Source: R/data.R
gerlach.Rd

Log returns (

Usage

gerlach

Format

Matrix 1105x9: USD, GBP, JPY, EUR, CAD, AUD, CHF, SEK, NOK

Source

Gerlach, Chen, & Lin (2011) JBES

Examples

data(gerlach)
head(gerlach)
#>                   USD        GBP        FRA         DEU        ITA        CAD
#> 2001-01-01  0.0000000  0.0000000  0.0000000  0.00000000  0.0000000  0.0000000
#> 2001-01-02 -2.8429667 -0.7655453 -2.1752682 -2.26033580 -2.0901817 -3.6728617
#> 2001-01-03  4.9007190 -2.2083335 -2.0003600  2.28131716 -2.3958569  3.7187356
#> 2001-01-04 -1.0580635  2.3840420  2.2947314 -0.91199945  2.2001841 -0.3592178
#> 2001-01-05 -2.6586695  0.2015272 -1.0017842  0.09044703  0.2825058 -2.4486739
#> 2001-01-08 -0.1711357 -0.7853846 -0.4388771  0.15437031 -0.3423644 -0.2129684
#>                   AUS         HKD
#> 2001-01-01  0.0000000  0.00000000
#> 2001-01-02  1.5956028 -1.50563651
#> 2001-01-03 -0.7800340 -1.90344744
#> 2001-01-04  1.6795772  4.32898321
#> 2001-01-05  0.1983265  1.38699046
#> 2001-01-08 -1.0320274 -0.07173145