ch02data {FinTS}R Documentation

financial time series for Tsay (2005, chapter 2[text])

Description

Financial time series used in examples in chapter 2.

Usage

data(m.ibm2697)
data(m.vw2697)
data(q.gnp4791)
data(m.ibm3dx2603)
data(m.3m4697)
data(q.gdp4703)
data(d.sp9003lev)
data(q.jnj)
data(m.decile1510)
data(w.gs1n36299)

Format

Objects of class zoo giving simple returns for each trading period (day, week or month) for different periods.

Author(s)

Spencer Graves with help from Gabor Grothendieck.

Source

http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 2)

See Also

ch01data

Examples

##
## m.decile1510 has 'index' of class 'Date'
## Since it's a monthly series, for many purposes,
## it should have 'index' of class 'yearmon'.
## To get this, do the following:
##
data(m.decile1510)
mDecile1510 <- zoo(m.decile1510, as.yearmon(index(m.decile1510)))

##
## w.gs1n36299 covers a broader range than used in
## Tsay (2005, sec. 2.9, pp. 80ff):  subset using 'window':
##
data(w.gs1n36299)
w.gs1n3 <- window(w.gs1n36299, start=as.Date("1962-01-12"),
    end=as.Date("1999-09-10"))

[Package FinTS version 0.3-9 Index]