% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/sys.risk.R
\docType{data}
\name{sys.risk}
\alias{sys.risk}
\title{The Data Set for Systemic Risk Analysis}
\format{
A data object with five variables
}
\usage{
data(sys.risk)
}
\description{
The data set contains the daily CRSP market value weighted index returns,
which are used as the market index returns in Brownlees and Engle (2012), and
also includes daily stock returns on JP Morgan Chase (JPM), Goldman Sachs (GS)
and American International Group (AIG).
The sample period is from 2 Jan. 2001 to 30 Dec. 2011 with sample size 2,767.
}
\details{
\itemize{
\item date:    The time index (day)
\item Market: The daily CRSP market value weighted index returns
\item JPM:    stock returns on JP Morgan Chase (JPM)
\item GS:     stock returns on Goldman Sachs (GS)
\item AIG:    stock returns on American International Group (AIG)
}
}
\references{
Brownlees, Christian T., and Robert F. Engle. "Volatility, correlation and tails for systemic risk measurement." \emph{Available at SSRN} 1611229 (2012).

Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016).
"The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series."
\emph{Journal of Econometrics}, 193(1), 251-270.
}
\keyword{datasets}
