ch11data {FinTS} | R Documentation |
Financial time series used in examples in chapter 11.
data(aa.3rv) # m.fac9003 described in ch09data # q.jnj described in dh02data
The text of chapter 11 considers one data set not used in previous chapters plus two that are. Monthly excess returns of GM stock are used in Table 9.1 of Chapter 9. Quarterly earnings of Johnson and Johnson are used in Chapter.
The data set introduced with chapter 11 is as follows:
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2
Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 11)