FinTS (version 0.4-5)

ch09data: 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} }

item

• m.cpice16.dp7503
• CE16
• m.barra.9003
• C
• MWD
• MER
• DELL
• IBM
• AA
• CAT
• PG
• m.5cln
• HPQ
• INTC
• MER
• MWD
• m.apca0103
• date
• return

itemize

• CompanyID

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=""))))