Monthly simple returns of the CRSP value-weighted index, 1926 to 1997
This data has been discussed by Tsay (2002, Ch.2, p.38 and 39) and Lin and McLeod (2008). There are 864 data values.
Lin, J.-W. and McLeod, A.I. (2008). "Portmanteau Tests for ARMA Models with Infinite Variance". Journal of Time Series Analysis, 29, 600-617.
Tsay, R. S. (2002). Analysis of Financial Time Series. Wiley, New York.
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