ch09data {FinTS} | R Documentation |
Financial time series for Tsay (2005, ch. 9)
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
- m.cpice16.dp7503
-
a zoo object of 168 monthly on two macroeconomic variables from January 1975 through December 2002 (p. 412):
- CPI
-
consumer price index for all urban consumers: all items and with index 1982-1984 = 100
- CE16
-
Civilian employment numbers 16 years and over: measured in thousands
- m.barra.9003
-
a zoo object giving monthly excess returns of ten stocks from January 1990 through December 2003:
- AGE
A. G. Edwards
- C
Citigroup
- MWD
Morgan Stanley
- MER
Merrill Lynch
- DELL
Dell, Inc.
- IBM
International Business Machines
- AA
Alcoa
- CAT
Caterpillar
- PG
Proctor & Gamble
- m.5cln
-
a zoo object giving monthly log returns in percentages of 5 stocks from January 1990 through December 1999:
- IBM
International Business Machines
- HPQ
Hewlett-Packard
- INTC
Intel
- MER
Merrill Lynch
- MWD
Morgan Stanley Dean Witter
- m.apca0103
-
data.frame of monthly simple returns of 40 stocks from January 2001 through December 2003, discussed in sect. 9.6.2, pp. 437ff.
- CompanyID
5-digit company identification code
- date
the last workday of the month
- return
in percent
Source
https://faculty.chicagobooth.edu/ruey-s-tsay/teaching
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=""))))