ereturns: Excess returns for Martin Marietta and American Can companies

In heavy: Robust Estimation Using Heavy-Tailed Distributions

Description

Data from the Martin Marietta and American Can companies collected over a period of 5 years on a monthly basis.

Usage

data(ereturns)

Format

A data frame with 60 observations on the following 4 variables.

Date

the month in which the observations were collected.

am.can

excess returns from the American Can company.

m.marietta

excess returns from the Martin Marietta company.

CRSP

an index for the excess rate returns for the New York stock exchange.

Source

Butler, R.J., McDonald, J.B., Nelson, R.D., and White, S.B. (1990). Robust and partially adaptive estimation of regression models. The Review of Economics and Statistics 72, 321-327.

heavy documentation built on Oct. 30, 2019, 9:48 a.m.