Daily Returns of Three Stocks in the Dow Jones

Description

Five years of daily log-returns (from 1996 to 2000) of Intel (INTC), Microsoft (MSFT) and General Electric (GE) stocks. These data were analysed in Chapter 5 of McNeil, Frey and Embrechts (2005).

Usage

data(rdj)

Format

A data frame of 1262 daily log-returns from 1996 to 2000.

DATE

a character vector specifying the date

INTC

daily log-return of the Intel stock

MSFT

daily log-return of the Microsoft stock

GE

daily log-return of the General Electric

References

McNeil, A. J., Frey, R., and Embrechts, P. (2005). Quantitative Risk Management: Concepts, Techniques, Tools. Princeton University Press.

Examples

data(rdj)

Results