ch12data: financial time series for Tsay (2005, chapter 12[text])
Description
Financial time series used in examples in chapter 12.Usage
data(w.gs3n1c)
data(w.gs3c)
data(m.sp6299)
data(m.ibmspln6299)
data(m.sp5.6204)
data(m.geln)
format
{
a zoo object of the change series of weekly US interest rates (3
and 1 year maturities) from Jan. 5, 1962, to Sep. 10, 1999. This
was obtained via diff(window(w.gs1n36299,
start=as.Date("1962-01-05"), end=as.Date("1999-09-10")))[, 2:1] to
get the dates with the data. Then 'all.equal' confirmed that these
numbers matched those in the file read from the web site (which
did not have dates).
These are used in Example 12.1, pp. 556ff.
}
- w.gs3c
{
a zoo object giving the change series of weekly US 3-year maturity
interest rates from March 18, 1988, to Sept. 10, 1999. This was
obtained via window(w.gs3n1c[, 1], start=as.Date("1988-03-18"),
end = as.Date("1999-09-10")). Then 'all.equal' confirmed that
these numbers matched those read from the web site.
These data are used in Example 12.2, pp. 564ff.
}
- m.sp6299
{
Monthly log returns of S&P 500 index from January 1962 to December
1999. These data are used in Example 12.3, pp. 569ff.
These data are a subset of 'm.ibmspln', used in chapter 3. That
series has dates, which were not provided in the file associated
with this series on the book's web site. Moreover, the file with
chapter 12 has only 4 significant digits where the earlier file
has 6. Since the other data are otherwise identical, this
'm.sp6299' was constructed as 'window(m.ibmspln[, 2],
start=yearmon(1962), end=yearmon(1999+11/12))'.
}
- m.ibmspln6299
{
Monthly log returns of IBM stock and the S&P 500 index from
January 1962 to December 1999. These data are used in Example
12.4, pp. 573ff.
These data are an expansion of 'm.sp6299' and were similarly
obtained from 'm.ibmspln'.
}
- m.sp5.6204
{
Monthly log returns of S&P 500 index from January 1962 to November
1999. These data are used in Example 12.5, pp. 586ff.
}
- m.geln
{
Monthly log returns of GE stock from January 1926 to December
1999. These data are used in Example 12.6, pp. 591ff.
}source
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2References
Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley,
ch. 12)