costat (version 1.1-1)

SP500FTSElr: Log-returns time series of the SP500 and FTSE100 indices

Description

Log-returns of the SP500 and FTSE indices between 21th June 1995 until 2nd October 2002. Only trading days where both indices were recorded are stored. There are 2048 observations.

Usage

data(SP500FTSElr)

source

Downloaded from Yahoo! Finance

References

`Costationarity and stationarity tests for stock index returns' by Cardinali and Nason.

Examples

#
# Plot the log-returns for the SP500
#
ts.plot(SP500FTSElr[,2])