ch03data: Financial time series for Tsay (2005, ch. 3)

In FinTS: Companion to Tsay (2005) Analysis of Financial Time Series

Financial time series for Tsay (2005, ch. 3)

Description

Financial time series used in examples in chapter 3.

Usage

#m.intc7303
data(exch.perc)
data(sp500)
#m.ibm2697
#d.ibmvwewsp6203
data(m.ibmspln)
data(m.ibmsplnsu)
data(d.sp8099)

Format

Three data stes used in chapter 3 are also used in chapter 1 or 2 and are documented with 'ch01data' or 'ch02data': In particular, 'm.intc7303' and 'd.ibmvwewsp6203' are used in chapters 1 and 3 and are documented with 'ch01data'; 'm.ibm2697' is used in chapters 2 and 3 is documented with ch02data.

The other data sets used in chapter 3 are as follows:

exch.perc

numeric vector of length 2497 giving percentage changes in the exchange rate between the German mark and the US dollar in 10 minute intervals, June 5-19, 1989. (The book describes analyses of 2488 observations. If these 2497 observations are plotted, it is difficult to see any differences from Figure 3.2.)

sp500

object of class 'zooreg' giving the monthly excess returns of the S&P 500 index starting from 1926. This zooreg object is labeled assuming it starts in January, though the book does not say whether it starts in January or just some time in 1926. (Many of the files included date with the data, but 'sp500.dat' did not.)

m.ibmspln

object of class 'zooreg' giving the monthly log returns of IBM stock and S&P 500 index from January 1926 to December 1999 for 888 observations. NOTE: The examples in the book use only the first 864 of these observations.

m.ibmsplnsu

same as 'm.ibmspln' but with a third column 'summer' that is 1 in June, July and August, and 0 otherwise.

d.sp8099

zoo object giving the average daily returns of the S&P 500 from 1980 through 1999.

Source

https://faculty.chicagobooth.edu/ruey-s-tsay/teaching

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 3)

See Also

ch01data, ch02data

FinTS documentation built on Jan. 27, 2024, 3:01 a.m.