CRSP: Monthly simple returns of the CRSP value-weighted index, 1926...

Description Usage References Examples

Description

This data has been discussed by Tsay (2002, Ch.2, p.38 and 39) and Lin and McLeod (2008). There are 864 data values.

Usage

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References

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.

Examples

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portes documentation built on May 29, 2017, 11:14 p.m.