SP500FTSElr: Log-returns time series of the SP500 and FTSE100 indices

In costat: Time Series Costationarity Determination

Log-returns time series of the SP500 and FTSE100 indices

Description

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.

Usage

data(SP500FTSElr)

Format

A data frame with 2048 observations on the following 3 variables.

Date

The trading day that the index was recorded.

SP500lr

The log-return for SP500

FTSElr

The log-return for FTSE100

Source

Downloaded from Yahoo! Finance

References

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.

Examples

#
# Plot the log-returns for the SP500
#
## Not run: ts.plot(SP500FTSElr[,2])

costat documentation built on Sept. 8, 2023, 5:18 p.m.