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.
- m.ibm2697, m.vw2697
- Monthly returns for IBM stock and the value weighted index from
1926 to 1997.
- q.gnp4791
- Growth rate of U.S. quarterly real gnp, from 1947Q2 to 1991Q1.
- m.ibm3dx2603
- Monthy returns of IBM stock, the value and equal weighted and
Standard and Poors indices from 1926 through 2003.
- m.3m4697
- Monthly simple returns of 3M stock from Feb., 1946 through
Dec. 2003.
- q.gdp4703
- U.S. quarterly GDP from 1947 through 2003
- d.sp9003lev
- Daily values of S&P 500 index from 1990 through 2003.
- q.jnj
- Quarterly earnings of Johnson & Johnson from 1960 through 1980.
- m.decile1510
- Monthly simple returns of Deciles 1, 5, 10. Decile 1 means the
weighted returns of companies in the first 10 percent of market
cap (i.e. 0 to 10). (Thus, it is not the 10th percentile.)
Decile 10
means the returns of the top 10 percent of the companies (market
cap). Therefore, decile 1 is the smallest listed companies, and
decile 10 is for the largest companies.
The 'index' of 'm.decile1510' has class 'Date'. Since it's a
monthly series, it would be better for many purposes if it had
'index' of class 'yearmon'. See the 'examples' below for how to
achieve this conversion.
- w.gs1n36299
- zoo object with two columns, 'gs1' and 'gs3', giving weekly 1-yr &
3-yr interest rates from 1962-01-05 through 2007-11-02. These
data were reextracted from the Federal Reserve Bank at St. Louis
to replace data from the book's web site that had obvious data
quality problems (e.g., a date of 1962-08-32).
To get data covering January 4, 1962, through September 10, 1999,
use window(w.gs1n36299, start=as.Date("1962-01-12"),
end=as.Date("1999-09-10")); see 'examples' below.
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]