Title: Correlations amongst stock market indexes

Source: Groenen and Franses (2000)

Description: Consider data from 13 stock market indexes of 784 daily measures
from January 1, 1995, to December 31, 1997. From these data, the so-called return
values are derived by taking the difference of the log of two
subsequent index values. The data are a correlation matrix of these stock market
indexes. The 13 stock markets are:


 1. brus    
 2. cbs    
 3. dax    
 4. dj     
 5. ftse   
 6. hs     
 7. madrid 
 8. milan  
 9. nikkei 
10. sing   
11. sp     
12. taiwan 
13. vec