Man pages for MFTSR
Modelling Financial Time Series with R

berndtMonthly returns on 16 assets and risk free rates from January...
blackMonthly returns on 16 assets from January 1983 through...
consumpAnnual comsumption data from 1960 to 1995
CPIMonthly CPI data from January 1913 through November 2001
danishDaily Danish fire loss data
dellReturnsDaily stock returns of Dell Computer Corporation from October...
dellVolumeDaily trading volume of Dell Computer Corporation stock from...
DFXWeekly returns on the Dutch Guilder spot exchange rate from...
DJ30Daily Dow Jones 30 stock price from January 1992 to September...
djiaDaily Dow Jone Industrial Average from January 1915 to...
DOCMonthly U.S. Department of Commerce data from January 1959 to...
ewmaVolExponentially weighted moving average (EWMA) volatility...
excessReturnsMonthly excess returns on Microsoft and S&P 500 from February...
fitted.ewmaVolfitted.ewmavol()
folioWeekly returns on 1618 stocks from January 1997 to June 2000
fordDaily returns on Ford stock from February 1984 to December...
fripMonthly industrial production of France from January 1960 to...
fwdRateMonthly forward rates of U.S. coupons from August 1985 to...
germanDaily log returns on BMW and Siemens stock from January 1973...
highFreq3MTransactions level data on 3M Corporation stock for December...
hpDaily returns on HP stock from February 1984 to December 1991
importMonthly Argentinian imports and import taxes from Januaray...
IPMonthly observations on industrial production growth from...
johansenMonthly returns on Danish stocks from January 1974 to March...
lexratesMonthly annual interest rate differential between US and...
maturityCooresponding maturity of U.S. zero coupon rates and forward...
msftDaily open, high, low, close and volume on Microsoft stock...
ndxDaily open, high, low, close and volume on the NASDAQ 100...
newtaxesnewtaxes
nyseDaily returns on a value weighted New York Stock Exchange...
policyMonthly data on U.S. real GDP and the Federal Funds rate from...
pricingMonthly data on ten size-based portfolios from the Center for...
print.ewmaVolprint.ewmavol()
residuals.ewmaVolresiduals.ewmavol()
rf30Monthly data on the annual nominal interest rate of the 30...
shillerMonthly S&P 500 dividend information from 1871 to 2000
shillerAnnualYearly S&P 500 dividend information from 1871 to 2000
singleIndexMonthly closing price on Microsoft and the S&P 500 Index from...
spDaily closing price of the S&P 500 Index from January 1960 to...
sp500Daily returns of the S&P 500 Index from January 1928 to...
stackLossstackLoss
stackXstackX
varexMonthly data on real stock returns, real interest rates,...
yahooDaily open, high, low, close and volume on Yahoo stock for...
zeroRateMonthly zero coupon rates from August 1985 to February 1991
MFTSR documentation built on May 31, 2017, 3:35 a.m.