ibmSp500: Monthly returns of IBM and S&P 500 composite index

In dCovTS: Distance Covariance and Correlation for Time Series Analysis

Monthly returns of IBM and S&P 500 composite index

Description

The monthly returns of the stocks of International Business Machines (IBM) and the S&P 500 composite index from January 1926 to December 2011.

Usage

ibmSp500

Format

A data frame with 1,032 observations on the following 3 variables.

date

a numeric vector

ibm

a numeric vector

sp

a numeric vector

Source

The data is a combination of two datasets:

• The first 612 observations are in Tsay (2010).

• The rest 420 observations are in Tsay (2014).

References

Tsay, R. S. (2010). Analysis of Financial Time Series. Hoboken, NJ: Wiley. Third edition.

Tsay, R. S. (2014). Multivariate Time Series Analysis with R and Financial Applications. Hoboken, NJ: Wiley.

Examples

### attach(ibmSp500)
### series <- tail(ibmSp500[, 2:3], 400)
### lseries <- log(series + 1)
### mADCFplot(lseries, MaxLag = 12)
### mADCFplot(lseries^2, MaxLag = 12)

dCovTS documentation built on Sept. 29, 2023, 1:06 a.m.