Dataset: Non-Gaussian Time Series and Nonlinear Dependence in Finance Markets, 2016

Abstract

Two key statistical features of finance markets are non-linearity and Non-Gaussianity. Between 2011 and 2012, Dag Tjøstheim coordinated the research of the project "Non-Guassian Time Series and Nonlinear Dependence", financed by The Finance Market Fund. The activity of the project was spread over three sub-projects, namely i) Local Gaussian correlation, ii) Nonlinear cointegration and iii) Integer-valued time series. In the referee report for the project it was pointed out that i) was most relevant for financial markets. Therefore the focus was directed towards this in the project "Non-Gaussian Time Series and Nonlinear Dependence in Finance Markets, 2016", for which metadata is presented here. Topics from i) that received attention were multivariate heavy tail dependence, multivariate extreme events, and multivariate portfolio analysis and risk. In addition we considered nonlinear cointegration theory using local Gaussian correlation, this combining i) and ii). Finally we explored the relationships to multiple copula theory, in particular the vine theory. All of this was relevant for the statistical analysis of financial markets.

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Variable Groups

Full Title

Non-Gaussian Time Series and Nonlinear Dependence in Finance Markets, 2016

Identification Number

NSD2339

Authoring Entity

Name Affiliation
Tjøstheim, Dag Department of Mathematics, University of Bergen

Producer

Name Affiliation Abbreviation Role
Tjøstheim, Dag Department of Mathematics, University of Bergen UiB Primary Investigator

Copyright

Copyright (C) 2016 Dag Tjøstheim, UiB

Funding Agency/Sponsor

Name Abbreviation Role Grant
The Research Council of Norway RCN 222796
The Finance Market Fund

Data Distributor

Name Affiliation Abbreviation
NSD – Norwegian Centre for Research Data NSD

Version

Date: 2016-09-20

Notes

Original data from Dag Tjøstheim, UiB are documented and prepared, first NSD-version.

Bibliographic Citation

"Non-Gaussian Time Series and Nonlinear Dependence in Finance Markets, 2016". Data collected by Dag Tjøstheim, UiB. First NSD edition, Bergen 2016.

List of Keywords

Topic Classification

Time Period Covered

Start End Cycle
2013-07-01 2016-04-30

Date of Collection

Start End Cycle
2001-02-06 2016-12-31

Country

Norway  (NO)

Geographic Coverage

Country

Unit of Analysis

Other

Universe

Daily market data.

Kind of Data

Other

Time Method

Cross-sectional survey

Data Collector

Tjøstheim, Dag, Matematisk institutt, Universitetet i Bergen  (UiB)

Sampling Procedure

Daily quotes of UK (APX) power data.

Mode of Data Collection

Other

Location

Availability Status

Data from "Non-Gaussian Time Series and Nonlinear Dependence in Finance Markets, 2016" are made available for everyone when ordered.

Extent of Collection

1 data files; different formats can be made.

Restrictions

Data from "Non-Gaussian Time Series and Nonlinear Dependence in Finance Markets, 2016" are made available for everyone when ordered.

Citation Requirement

Users are obliged to refer to producer and distributor of the data by writing the following in forewords or footnotes in eventual publications:
"(Some of) the data applied in the analysis in this publication are based on "Non-Gaussian Time Series and Nonlinear Dependence in Finance Markets, 2016". The survey was financed by The Reasearch Council of Norway. The data are provided by Dag Tjøstheim, UiB and prepared and made available by NSD – Norwegian Centre for Research Data. Neither Dag Tjøstheim, UiB, The Finance Market Fund, The Research Council of Norway nor NSD are responsible for the analysis/interpretation of the data presented here.

Deposit Requirement

Access to data is given on the condition that NSD gets a PDF-file of eventual reports that are written on the basis of the data. This to ensure best possible information of the use of data we distribute.

Conditions

The order form has to include name, institutional affiliation, project title, information about sources of financing and postal address. A declaration of secrecy has to be signed before delivery of data.

Disclaimer

Neither Dag Tjøstheim, UiB, The Finance Market Fund, The Research Council of Norway nor NSD are responsible for the analysis/interpretation of the data presented here.

Metadata Index

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