Log-returns of the SP500 and FTSE indices between 21th June 1995 until 2nd October 2002. Only trading days where both indices were recorded are stored. There are 2048 observations.
A data frame with 2048 observations on the following 3 variables.
The trading day that the index was recorded.
The log-return for SP500
The log-return for FTSE100
Downloaded from Yahoo! Finance
Cardinali, A. and Nason, Guy P. (2013) Costationarity of Locally Stationary Time Series Using costat. Journal of Statistical Software, 55, Issue 1.
Cardinali, A. and Nason, G.P. (2010) Costationarity of locally stationary time series. J. Time Series Econometrics, 2, Issue 2, Article 1.
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# # Plot the log-returns for the SP500 # ## Not run: ts.plot(SP500FTSElr[,2])
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