Jsong1836/Composite-Stress-Index

This index was calculated by following the general method of the European Central Bank's Composite index of systemic stress index available on European Central bank's statistical warehouse as CISS. Data import process is automatized by "Quantmod" and "Qunadl" where there are three main data sources (Fred, Yahoo, Quandl). Since these data sources are free, this function can be used with different source of financial stress that users think more efficient in order to capture financial stress. The main difference from the ECB's calculation, this index includes commodity market as a source of financial stress.