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

Files in this package

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.

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