ch09data

m.fac9003

m.cpice16.dp7503

m.barra.9003

m.5cln

m.apca0103

Financial time series used in examples in chapter 9.

datasets

R companion to Tsay (2005) 
 Analysis of Financial Time Series, 2nd ed. (Wiley).  
 Includes data sets, functions and script files 
 required to work some of the examples.  Version 0.2-x 
 includes R objects for all data files used in the text 
 and script files to recreate most of the analyses in 
 chapters 1 and 2 plus parts of chapters 3 and 11.  

Spencer Graves

FinTS

Companion to Tsay (2005) Analysis of Financial 
       Time Series 

ch09data function

<item>m.fac9003</item>{
    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.)

    <ul><li>AA</li></ul>{Alcoa}
      <item>AGE</item>{A. G. Edwards}
      <item>CAT</item>{Caterpillar}
      <item>F</item>{Ford Motor}
      <item>FDX</item>{FedEx}
      <item>GM</item>{General Motors}
      <item>HPQ</item>{Hewlett-Packard}
      <item>KMB</item>{Kimberly-Clark}
      <item>MEL</item>{Mellon Financial}
      <item>NYT</item>{New York Times}
      <item>PG</item>{Proctor & Gamble}
      <item>TRB</item>{Chicago Tribune}
      <item>TXN</item>{Texas Instruments}
      <item>SP5</item>{Standard & Poor's 500 index}
    }

format

<ul><li>m.cpice16.dp7503</li><li>CE16</li><li>m.barra.9003</li><li>C</li><li>MWD</li><li>MER</li><li>DELL</li><li>IBM</li><li>AA</li><li>CAT</li><li>PG</li><li>m.5cln</li><li>HPQ</li><li>INTC</li><li>MER</li><li>MWD</li><li>m.apca0103</li><li>date</li><li>return</li></ul>

ch09data: financial time series for Tsay (2005, chapter 9[text])

Description

Usage

Arguments

format

item

itemize

source

References

See Also