Description Usage Format Source
Collection of common factors as both monthly and quarterly time series
SP500: S&P 500 composite index returns. (Yahoo)
GS10TR: US Treasury 10y yields total returns from the yeild of the 10 year constant maturity. (FRED)
USD.Index: Trade Weighted U.S. Dollar Index: Major Currencies - TWEXMMTH. (FRED)
Term.Spread: Yield spread of Merrill Lynch High-Yield Corporate Master II Index minus 10-year Treasury. (FRED)
TED.Spread: 3-Month Treasury Bill: Secondary Market Rate(TB3MS) - 3-Month Eurodollar Deposit Rate (MED3). (FRED)
dVIX: First difference of the end-of-month value of the CBOE Volatility Index (VIX). (Yahoo)
OILPRICE: Monthly returns of spot price of West Texas Intermediate. (FRED)
TB3MS: 3-Month Treasury Bill Secondary Market Rate (TB3MS). (FRED)
1 |
xts time series object
factors.M
Jan-1997 through May-2014
factors.Q
Q1-1997 through Q1-2014
Federal Reserve Economic Data (FRED): http://research.stlouisfed.org/fred2/
Yahoo Finance: http://finance.yahoo.com/
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.