ch09data: Financial time series for Tsay (2005, ch. 9)
In FinTS: Companion to Tsay (2005) Analysis of Financial Time Series

ch09data

R Documentation

Financial time series for Tsay (2005, ch. 9)

Description

Financial time series used in examples in chapter 9.

Usage

data(m.fac9003)
data(m.cpice16.dp7503)
data(m.barra.9003)
data(m.5cln)
#data(m.bnd) <- documented with ch08, also used in ch09
data(m.apca0103)

Format

m.fac9003

a zoo object of 168 observations giving simple excess returns of 13 stocks and the Standard and Poor's 500 index over the monthly series of three-month Treasury bill rates of the secondary market as the risk-free rate from January 1990 to December 2003. (These numbers are used in Table 9.1.)

AA: Alcoa
AGE: A. G. Edwards
CAT: Caterpillar
F: Ford Motor
FDX: FedEx
GM: General Motors
HPQ: Hewlett-Packard
KMB: Kimberly-Clark
MEL: Mellon Financial
NYT: New York Times
PG: Proctor & Gamble
TRB: Chicago Tribune
TXN: Texas Instruments
SP5: Standard & Poor's 500 index

m.cpice16.dp7503

a zoo object of 168 monthly on two macroeconomic variables from January 1975 through December 2002 (p. 412):

CPI: consumer price index for all urban consumers: all items and with index 1982-1984 = 100
CE16: Civilian employment numbers 16 years and over: measured in thousands

m.barra.9003

a zoo object giving monthly excess returns of ten stocks from January 1990 through December 2003:

AGE: A. G. Edwards
C: Citigroup
MWD: Morgan Stanley
MER: Merrill Lynch
DELL: Dell, Inc.
IBM: International Business Machines
AA: Alcoa
CAT: Caterpillar
PG: Proctor & Gamble

m.5cln

a zoo object giving monthly log returns in percentages of 5 stocks from January 1990 through December 1999:

IBM: International Business Machines
HPQ: Hewlett-Packard
INTC: Intel
MER: Merrill Lynch
MWD: Morgan Stanley Dean Witter

m.apca0103

data.frame of monthly simple returns of 40 stocks from January 2001 through December 2003, discussed in sect. 9.6.2, pp. 437ff.

CompanyID: 5-digit company identification code
date: the last workday of the month
return: in percent

Source

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

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)

Examples

data(m.apca0103)
dim(m.apca0103)
# 1440 3;  1440 = 40*36
# Are the dates all the same?
sameDates <- rep(NA, 39)
for(i in 1:39)
    sameDates[i] <- with(m.apca0103,
                         all.equal(date[1:36], date[(i*36)+1:36]))
stopifnot(all(sameDates))
M.apca0103 <- with(m.apca0103, array(return, dim = c(36, 40), dimnames =
    list(NULL, paste("Co", CompanyID[seq(1, 1440, 36)], sep=""))))

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