ch11data

aa.3rv

Financial time series used in examples in chapter 11.

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 0.3-x
includes R objects for all data files used in the text
and script files to recreate most of the analyses in
chapters 1-3 and 9 plus parts of chapters 4 and 11.

Spencer Graves

FinTS

Companion to Tsay (2005) Analysis of Financial Time Series

ch11data function

The text of chapter 11 considers one data set not used in previous
  chapters plus two that are.  Monthly excess returns of GM stock are
  used in Table 9.1 of Chapter 9.  Quarterly earnings of Johnson and
  Johnson are used in Chapter.

  The data set introduced with chapter 11 is as follows:

  <ul><li>aa.3rv.</li></ul>{
      a zoo object of daily 5, 10, and 20 minute realized volatility of
      Alcoa stock from 2003-01-02 through 2004-05-07
    }

format

<url>http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2</url>

ch11data: financial time series for Tsay (2005, chapter 11[text])

Description

Usage

Arguments

format

source

References

See Also