ch04data: financial time series for Tsay (2005, chapter 4[text])
Description
Financial time series used in examples in chapter 4.Usage
data(m.unrate)
#d.ibmvwewsp6203
#m.3m4697
#q.gnp4791
data(w.3mtbs7097)
data(m.ibmln2699)
data(q.unemrate)
format
Three data stes used in chapter 4 are also used earlier:
'd.ibmvwewsp6203' is used in chapter 1, and 'm.3m4697' and 'q.gnp4791'
are used in chapter 2; these three data objects are docuemented in
'ch01data' or 'ch02data'.
The other data sets used in chapter 4 are as follows:
{
zoo object giving the monthly US civilian unemployment rate from
1948 through 2004.
}
- w.3mtbs7097
{
zoo object giving the US weekly 3-month treasury bill rate in the
secondary market from 1970 through 1997.
}
- m.ibmln2699
{
zoo object giving the monthly log returns in percentages of IBM
stock from 1926 through 1999.
}
- q.unemrate
{
zoo object giving the US quarterly unemployment rate seasonally
adjusted from 1948 through 1993.
}source
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2References
Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley,
ch. 4)