ch11data: financial time series for Tsay (2005, chapter 11[text])

Description Usage Format Source References See Also

Description

Financial time series used in examples in chapter 11.

Usage

1
2
3
data(aa.3rv)
# m.fac9003 described in ch09data
# q.jnj described in dh02data

Format

The text of chapter 11 considers one data set not used in previous chapters plus two that are. Monthly excess returns of GM stock are used in Table 9.1 of Chapter 9. Quarterly earnings of Johnson and Johnson are used in Chapter.

The data set introduced with chapter 11 is as follows:

Source

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

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 11)

See Also

ch09data ch02data


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