Description Usage Format Source References See Also Examples

Financial time series used in examples in chapter 9.

1 2 3 4 5 6 | ```
data(m.fac9003)
data(m.cpice16.dp7503)
data(m.barra.9003)
data(m.5cln)
#data(m.bnd) <- documented with ch08, also used in ch09
data(m.apca0103)
``` |

m.fac9003 a zoo object of 168 observations giving simple excess returns of 13 stocks and the Standard and Poor's 500 index over the monthly series of three-month Treasury bill rates of the secondary market as the risk-free rate from January 1990 to December 2003. (These numbers are used in Table 9.1.)

AAAlcoa

AGEA. G. Edwards

CATCaterpillar

FFord Motor

FDXFedEx

GMGeneral Motors

HPQHewlett-Packard

KMBKimberly-Clark

MELMellon Financial

NYTNew York Times

PGProctor & Gamble

TRBChicago Tribune

TXNTexas Instruments

SP5Standard & Poor's 500 index

m.cpice16.dp7503 a zoo object of 168 monthly on two macroeconomic variables from January 1975 through December 2002 (p. 412):

CPI consumer price index for all urban consumers: all items and with index 1982-1984 = 100

CE16 Civilian employment numbers 16 years and over: measured in thousands

m.barra.9003 a zoo object giving monthly excess returns of ten stocks from January 1990 through December 2003:

AGEA. G. Edwards

CCitigroup

MWDMorgan Stanley

MERMerrill Lynch

DELLDell, Inc.

IBMInternational Business Machines

AAAlcoa

CATCaterpillar

PGProctor & Gamble

m.5cln a zoo object giving monthly log returns in percentages of 5 stocks from January 1990 through December 1999:

IBMInternational Business Machines

HPQHewlett-Packard

INTCIntel

MERMerrill Lynch

MWDMorgan Stanley Dean Witter

m.apca0103 data.frame of monthly simple returns of 40 stocks from January 2001 through December 2003, discussed in sect. 9.6.2, pp. 437ff.

CompanyID5-digit company identification code

datethe last workday of the month

returnin percent

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

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)

`ch01data`

`ch02data`

`ch03data`

`ch04data`

`ch05data`

`ch06data`

1 2 3 4 5 6 7 8 9 10 11 | ```
data(m.apca0103)
dim(m.apca0103)
# 1440 3; 1440 = 40*36
# Are the dates all the same?
sameDates <- rep(NA, 39)
for(i in 1:39)
sameDates[i] <- with(m.apca0103, all.equal(date[1:36],
date[(i*36)+1:36]))
stopifnot(all(sameDates))
M.apca0103 <- with(m.apca0103, array(return, dim=c(36, 40), dimnames=
list(NULL, paste("Co", CompanyID[seq(1, 1440, 36)], sep=""))))
``` |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.