MFTSR: Modelling Financial Time Series with R

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

Author
Eric Zivot
Date of publication
2015-07-28 01:12:28
Maintainer
Eric Zivot <ezviot@uw.edu>
License
GPL-2
Version
1.0

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