sp500.excess {UsingR}

Excess returns of S\&P 500

Description

Excess returns of S\&P 500. These are defined as the difference between the series and some riskless asset.

Usage

data(sp500.excess)

Format

The format is: Time-Series [1:792] from 1929 to 1995: 0.0225 -0.044 -0.0591 0.0227 0.0077 0.0432 0.0455 0.0171 0.0229 -0.0313 ...

Source

This data set is used in Tsay, Analysis of Financial Time Series. At the time, it was downloaded from www.gsb.uchicago.edu/fac/ruey.tsay/teaching/fts (now off-line). The fSeries package may also contain this data set.

Examples

data(sp500.excess)
plot(sp500.excess)