Description Usage Format Source References Examples

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.

1 |

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

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.

1 2 3 4 | ```
#
# Plot the log-returns for the SP500
#
## Not run: ts.plot(SP500FTSElr[,2])
``` |

costat documentation built on April 7, 2018, 1:03 a.m.

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