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#' U.S. Stock Markets and CAPE Ratio
#'
#' \code{SP500} Robert Schiller's data set for U.S. Stock Markets 1871-2021 and CAPE Ratio.
#'
#' @section Notes from Schiller:
#'
#' This data set consists of monthly stock price, dividends, and earnings data and
#' the consumer price index (to allow conversion to real values), all starting
#' January 1871. The price, dividend, and earnings series are from the same sources
#' as described in Chapter 26 of my earlier book (Market Volatility, Cambridge,
#' MA: MIT Press, 1989), although now I use monthly data, rather than annual data.
#' Monthly dividend and earnings data are computed from the S&P four-quarter totals
#' for the quarter since 1926, with linear interpolation to monthly figures. Dividend
#' and earnings data before 1926 are from Cowles and associates (Common Stock Indexes,
#' 2nd ed., Bloomington, Ind.: Principia Press, 1939), interpolated from annual
#' data. Stock price data are monthly averages of daily closing prices. The CPI-U (Consumer Price Index-All Urban Consumers) published by
#' the U.S. Bureau of Labor Statistics begins in 1913; for years before 1913,
#' I spliced to the CPI Warren and Pearson's price index, by multiplying it by
#' the ratio of the indexes in January 1913. December 1999 and January 2000 values
#' for the CPI-Uare extrapolated. See George F. Warren and Frank A. Pearson, Gold
#' and Prices (New York: John Wiley and Sons, 1935). Data are from their Table 1,
#' pp. 11–14.
#'
#' @docType data
#'
#' @usage data(SP500)
#'
#' @format An \code{\link{xts}} object containing observations of U.S. Stock Markets 1871-Present and CAPE Ratio.
#' \itemize{
#' \item\strong{Frequency:} {Monthly}
#' \item\strong{Date Range:} {1871-01 to 2020-03}
#' \item\strong{Data updated:} {2021-05-05 05:08 PM CST}
#' \item\strong{SP500:} {Nominal prices of the S&P composite index, April 2021 observation is 04/05 close}
#' \item\strong{Dividends:} {Nominal dividends}
#' \item\strong{Earnings:} {Nominal Earnings, S&P 500 estimated}
#' \item\strong{CPI:} {Schiller's Consumer Price Index data Schiller used for transformation to Real prices}
#' \item\strong{GS10:} {Schiller's Long term interest rate 10-Year Treasury Constant Maturity Rate, April 2021 observation is 04/05 close}
#' \item\strong{Real_SP500:} {Real prices of the S&P 500 composite index}
#' \item\strong{Real_Dividends:} {Real Dividends}
#' \item\strong{Real_SP500_TR:} {Real Total Return Price of the S&P 500 composite index}
#' \item\strong{Real_Earnings:} {Real Earnings}
#' \item\strong{Real_Earnings_TR:} {Real Total Return Scaled Earnings}
#' \item\strong{CAPE:} {Cyclically Adjusted Price Earnings Ratio. P/E10 or CAPE.}
#' \item\strong{CAPE_TR:} {Cyclically Adjusted Total Return Price Earnings Ratio. P/E10_TR or CAPE_TR.}
#' \item\strong{CAPE_Yield:} {Excess Cape Yield.}
#' \item\strong{Bond_TR:} {Total Bond Returns.}
#' \item\strong{Real_Bond_TR:} {Real Total Bond Returns.}
#'
#' }
#'
#' @source Schiller, Robert J. Irrational Exuberance, Princeton University Press 2000,
#' Broadway Books 2001, 2nd ed. 2005, 3rd ed. 2015.
#' \url{http://www.econ.yale.edu/~shiller/data.htm}
#'
#' Download .xls file directly from here: \url{http://www.econ.yale.edu/~shiller/data/ie_data.xls}
#'
#' @examples
#' data(SP500)
#'
#' SP500_qtr <- xts::to.quarterly(SP500$SP500, OHLC = FALSE)
#' log_SP500 <- 100*log(SP500_qtr)
#'
#' SP500_trend <- yth_filter(log_SP500, h = 8, p = 4, output = c("x", "trend"),
#' family = gaussian)
#'
#' main <- "Log of SP500 and trend"
#' plot(SP500_trend, grid.col = "white", legend.loc = "topleft", main = main)
#'
#'
#' SP500cycle <- yth_filter(log_SP500["1900/"], h = 8, p = 4,
#' output = c("cycle", "random"), family = gaussian)
#'
#' main <- "Log of SP500 cycle and random walk"
#' plot(SP500cycle, grid.col = "white", legend.loc = "topright", main = main)
"SP500"
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