ch02data: financial time series for Tsay (2005, chapter 2[text])

Description Usage Format Author(s) Source References See Also Examples

Description

Financial time series used in examples in chapter 2.

Usage

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Format

Objects of class zoo giving simple returns for each trading period (day, week or month) for different periods.

Author(s)

Spencer Graves with help from Gabor Grothendieck.

Source

http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 2)

See Also

ch01data

Examples

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##
## m.decile1510 has 'index' of class 'Date'
## Since it's a monthly series, for many purposes,
## it should have 'index' of class 'yearmon'.
## To get this, do the following:
##
data(m.decile1510)
mDecile1510 <- zoo(m.decile1510, as.yearmon(index(m.decile1510)))

##
## w.gs1n36299 covers a broader range than used in
## Tsay (2005, sec. 2.9, pp. 80ff):  subset using 'window':
##
data(w.gs1n36299)
w.gs1n3 <- window(w.gs1n36299, start=as.Date("1962-01-12"),
    end=as.Date("1999-09-10"))

FinTS documentation built on May 29, 2017, 9:08 a.m.