AI and Shipping Market Index Daily Time Series for Spillover Analysis

Replication data and code for a study on extreme-state spillover transmission between AI and shipping markets. The archive contains two daily index series for an AI-theme index and a shipping-market index, along with an R script for TVP-QVAR frequency-domain and wavelet coherence analysis. The data and code were authored by Zhang, Ziren and last updated on April 13, 2026.

Use Cases

• Modeling volatility spillovers between AI and shipping sectors based on the provided daily index series.
• Conducting frequency-domain analysis of market co-movements using the included TVP-QVAR R code.
• Applying wavelet coherence analysis to examine time-varying relationships between the two financial indices.
• Reproducing empirical results from the associated academic manuscript using the provided console log.

Strengths

• Includes complete replication materials: raw data, processing notes, analysis code, and console output.
• Data is structured for a specific, advanced econometric analysis (TVP-QVAR and wavelet coherence).

Limitations

• Column-level documentation is absent; field semantics must be inferred after download.
• Row count and temporal coverage of the daily series are unknown, which may limit suitability assessment.

Provenance

Source

Harvard Dataverse

Collection Method

Likely compiled from financial market data sources for academic research.

Time Range

null

Freshness

Last updated 2026-04-13 15:12:03; freshness should be verified.

Geography

null