MFTSR: Modelling Financial Time Series with R

Companion R package for the book "Modelling Financial Time Series with R".

AuthorEric Zivot
Date of publication2015-07-28 01:12:28
MaintainerEric Zivot <ezviot@uw.edu>
LicenseGPL-2
Version1.0

View on R-Forge

Man pages

berndt: Monthly returns on 16 assets and risk free rates from January...

black: Monthly returns on 16 assets from January 1983 through...

consump: Annual comsumption data from 1960 to 1995

CPI: Monthly CPI data from January 1913 through November 2001

danish: Daily Danish fire loss data

dellReturns: Daily stock returns of Dell Computer Corporation from October...

dellVolume: Daily trading volume of Dell Computer Corporation stock from...

DFX: Weekly returns on the Dutch Guilder spot exchange rate from...

DJ30: Daily Dow Jones 30 stock price from January 1992 to September...

djia: Daily Dow Jone Industrial Average from January 1915 to...

DOC: Monthly U.S. Department of Commerce data from January 1959 to...

ewmaVol: Exponentially weighted moving average (EWMA) volatility...

excessReturns: Monthly excess returns on Microsoft and S&P 500 from February...

fitted.ewmaVol: fitted.ewmavol()

folio: Weekly returns on 1618 stocks from January 1997 to June 2000

ford: Daily returns on Ford stock from February 1984 to December...

frip: Monthly industrial production of France from January 1960 to...

fwdRate: Monthly forward rates of U.S. coupons from August 1985 to...

german: Daily log returns on BMW and Siemens stock from January 1973...

highFreq3M: Transactions level data on 3M Corporation stock for December...

hp: Daily returns on HP stock from February 1984 to December 1991

import: Monthly Argentinian imports and import taxes from Januaray...

IP: Monthly observations on industrial production growth from...

johansen: Monthly returns on Danish stocks from January 1974 to March...

lexrates: Monthly annual interest rate differential between US and...

maturity: Cooresponding maturity of U.S. zero coupon rates and forward...

msft: Daily open, high, low, close and volume on Microsoft stock...

ndx: Daily open, high, low, close and volume on the NASDAQ 100...

newtaxes: newtaxes

nyse: Daily returns on a value weighted New York Stock Exchange...

policy: Monthly data on U.S. real GDP and the Federal Funds rate from...

pricing: Monthly data on ten size-based portfolios from the Center for...

print.ewmaVol: print.ewmavol()

residuals.ewmaVol: residuals.ewmavol()

rf30: Monthly data on the annual nominal interest rate of the 30...

shiller: Monthly S&P 500 dividend information from 1871 to 2000

shillerAnnual: Yearly S&P 500 dividend information from 1871 to 2000

singleIndex: Monthly closing price on Microsoft and the S&P 500 Index from...

sp: Daily closing price of the S&P 500 Index from January 1960 to...

sp500: Daily returns of the S&P 500 Index from January 1928 to...

stackLoss: stackLoss

stackX: stackX

varex: Monthly data on real stock returns, real interest rates,...

yahoo: Daily open, high, low, close and volume on Yahoo stock for...

zeroRate: Monthly zero coupon rates from August 1985 to February 1991

Functions

berndt Man page
black Man page
consump Man page
CPI Man page
danish Man page
dellReturns Man page
dellVolume Man page
DFX Man page
DJ30 Man page
djia Man page
DOC Man page
ewmaVol Man page
excessReturns Man page
fitted.ewmaVol Man page
folio Man page
ford Man page
frip Man page
fwdRate Man page
german Man page
highFreq3M Man page
hp Man page
import Man page
IP Man page
johansen Man page
lexrates Man page
maturity Man page
msft Man page
ndx Man page
newtaxes Man page
nyse Man page
policy Man page
pricing Man page
print.ewmaVol Man page
residuals.ewmaVol Man page
rf30 Man page
shiller Man page
shillerAnnual Man page
singleIndex Man page
sp Man page
sp500 Man page
stackLoss Man page
stackX Man page
varex Man page
yahoo Man page
zeroRate Man page

Files

MFTSR/DESCRIPTION
MFTSR/NAMESPACE
MFTSR/R
MFTSR/R/data.R MFTSR/R/ewmaVol.R MFTSR/R/fittedewmaVol.R MFTSR/R/printewmaVol.R MFTSR/R/residualsewmaVol.R
MFTSR/data
MFTSR/data/CPI.rda
MFTSR/data/DFX.rda
MFTSR/data/DJ30.rda
MFTSR/data/DOC.rda
MFTSR/data/IP.rda
MFTSR/data/berndt.rda
MFTSR/data/black.rda
MFTSR/data/consump.rda
MFTSR/data/danish.rda
MFTSR/data/datalist
MFTSR/data/dellReturns.rda
MFTSR/data/dellVolume.rda
MFTSR/data/djia.rda
MFTSR/data/excessReturns.rda
MFTSR/data/folio.rda
MFTSR/data/ford.rda
MFTSR/data/frip.rda
MFTSR/data/fwdRate.rda
MFTSR/data/german.rda
MFTSR/data/highFreq3M.rda
MFTSR/data/hp.rda
MFTSR/data/import.rda
MFTSR/data/johansen.rda
MFTSR/data/lexrates.rda
MFTSR/data/maturity.rda
MFTSR/data/msft.rda
MFTSR/data/ndx.rda
MFTSR/data/newtaxes.rda
MFTSR/data/nyse.rda
MFTSR/data/policy.rda
MFTSR/data/pricing.rda
MFTSR/data/rf30.rda
MFTSR/data/shiller.rda
MFTSR/data/shillerAnnual.rda
MFTSR/data/singleIndex.rda
MFTSR/data/sp.rda
MFTSR/data/sp500.rda
MFTSR/data/stackLoss.rda
MFTSR/data/stackX.rda
MFTSR/data/varex.rda
MFTSR/data/yahoo.rda
MFTSR/data/zeroRate.rda
MFTSR/man
MFTSR/man/CPI.Rd MFTSR/man/DFX.Rd MFTSR/man/DJ30.Rd MFTSR/man/DOC.Rd MFTSR/man/IP.Rd MFTSR/man/berndt.Rd MFTSR/man/black.Rd MFTSR/man/consump.Rd MFTSR/man/danish.Rd MFTSR/man/dellReturns.Rd MFTSR/man/dellVolume.Rd MFTSR/man/djia.Rd MFTSR/man/ewmaVol.Rd MFTSR/man/excessReturns.Rd MFTSR/man/fitted.ewmaVol.Rd MFTSR/man/folio.Rd MFTSR/man/ford.Rd MFTSR/man/frip.Rd MFTSR/man/fwdRate.Rd MFTSR/man/german.Rd MFTSR/man/highFreq3M.Rd MFTSR/man/hp.Rd MFTSR/man/import.Rd MFTSR/man/johansen.Rd MFTSR/man/lexrates.Rd MFTSR/man/maturity.Rd MFTSR/man/msft.Rd MFTSR/man/ndx.Rd MFTSR/man/newtaxes.Rd MFTSR/man/nyse.Rd MFTSR/man/policy.Rd MFTSR/man/pricing.Rd MFTSR/man/print.ewmaVol.Rd MFTSR/man/residuals.ewmaVol.Rd MFTSR/man/rf30.Rd MFTSR/man/shiller.Rd MFTSR/man/shillerAnnual.Rd MFTSR/man/singleIndex.Rd MFTSR/man/sp.Rd MFTSR/man/sp500.Rd MFTSR/man/stackLoss.Rd MFTSR/man/stackX.Rd MFTSR/man/varex.Rd MFTSR/man/yahoo.Rd MFTSR/man/zeroRate.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.