BCJ: Daily Returns of Three Banks
In astsa: Applied Statistical Time Series Analysis
BCJ R Documentation
Daily Returns of Three Banks
Description
Daily returns of three banks, 1. Bank of America [boa], 2. Citibank [citi], and
3. JP Morgan Chase [jpm], from 2005 to 2017.
Format
The format is:
Time-Series [1:3243, 1:3] from 2005 to 2017: -0.01378 -0.01157 -0.00155 -0.01084 0.01252 ...
with column names "boa" "citi" "jpm" .
Source
Gong & Stoffer (2021). A Note on Efficient Fitting of Stochastic Volatility Models.
Journal of Time Series Analysis, 42(2), 186-200.
https://github.com/nickpoison/Stochastic-Volatility-Models
References
You can find demonstrations of astsa capabilities at
FUN WITH ASTSA.
The most recent version of the package can be found at https://github.com/nickpoison/astsa/.
In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.
The webpages for the texts and some help on using R for time series analysis can be found at
https://nickpoison.github.io/.
Examples
tsplot(BCJ, col=2:4)
astsa documentation built on May 29, 2024, 10:29 a.m.
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| BCJ | R Documentation |
Daily Returns of Three Banks
Description
Daily returns of three banks, 1. Bank of America [boa], 2. Citibank [citi], and 3. JP Morgan Chase [jpm], from 2005 to 2017.
Format
The format is: Time-Series [1:3243, 1:3] from 2005 to 2017: -0.01378 -0.01157 -0.00155 -0.01084 0.01252 ... with column names "boa" "citi" "jpm" .
Source
Gong & Stoffer (2021). A Note on Efficient Fitting of Stochastic Volatility Models. Journal of Time Series Analysis, 42(2), 186-200.
https://github.com/nickpoison/Stochastic-Volatility-Models
References
You can find demonstrations of astsa capabilities at FUN WITH ASTSA.
The most recent version of the package can be found at https://github.com/nickpoison/astsa/.
In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.
The webpages for the texts and some help on using R for time series analysis can be found at https://nickpoison.github.io/.
Examples
tsplot(BCJ, col=2:4)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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