ch09data {FinTS} | R Documentation |
financial time series for Tsay (2005, chapter 9[text])
Description
Financial time series used in examples in chapter 9.
Usage
data(m.fac9003)
data(m.cpice16.dp7503)
data(m.barra.9003)
data(m.5cln)
#data(m.bnd) <- documented with ch08, also used in ch09
data(m.apca0103)
Format
- m.fac9003
- a zoo object of 168 observations giving simple excess returns of
13 stocks and the Standard and Poor's 500 index over the monthly
series of three-month Treasury bill rates of the secondary market
as the risk-free rate from January 1990 to December 2003. (These
numbers are used in Table 9.1.)
- AA
- Alcoa
- AGE
- A. G. Edwards
- CAT
- Caterpillar
- F
- Ford Motor
- FDX
- FedEx
- GM
- General Motors
- HPQ
- Hewlett-Packard
- KMB
- Kimberly-Clark
- MEL
- Mellon Financial
- NYT
- New York Times
- PG
- Proctor & Gamble
- TRB
- Chicago Tribune
- TXN
- Texas Instruments
- SP5
- Standard & Poor's 500 index
- m.cpice16.dp7503
- a zoo object of 168 monthly on two macroeconomic variables from
January 1975 through December 2002 (p. 412):
- CPI
- consumer price index for all urban consumers: all items and
with index 1982-1984 = 100
- CE16
- Civilian employment numbers 16 years and over: measured in
thousands
- m.barra.9003
- a zoo object giving monthly excess returns of ten stocks from
January 1990 through December 2003:
- AGE
- A. G. Edwards
- C
- Citigroup
- MWD
- Morgan Stanley
- MER
- Merrill Lynch
- DELL
- Dell, Inc.
- IBM
- International Business Machines
- AA
- Alcoa
- CAT
- Caterpillar
- PG
- Proctor & Gamble
- m.5cln
- a zoo object giving monthly log returns in percentages of 5 stocks
from January 1990 through December 1999:
- IBM
- International Business Machines
- HPQ
- Hewlett-Packard
- INTC
- Intel
- MER
- Merrill Lynch
- MWD
- Morgan Stanley Dean Witter
- m.apca0103
- data.frame of monthly simple returns of 40 stocks from January
2001 through December 2003, discussed in sect. 9.6.2, pp. 437ff.
- CompanyID
- 5-digit company identification code
- date
- the last workday of the month
- return
- in percent
Source
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2
References
Ruey Tsay (2005)
Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)
See Also
ch01data
ch02data
ch03data
ch04data
ch05data
ch06data
Examples
data(m.apca0103)
dim(m.apca0103)
# 1440 3; 1440 = 40*36
# Are the dates all the same?
sameDates <- rep(NA, 39)
for(i in 1:39)
sameDates[i] <- with(m.apca0103, all.equal(date[1:36],
date[(i*36)+1:36]))
stopifnot(all(sameDates))
M.apca0103 <- with(m.apca0103, array(return, dim=c(36, 40), dimnames=
list(NULL, paste("Co", CompanyID[seq(1, 1440, 36)], sep=""))))
[Package
FinTS version 0.3-9
Index]