SP500FTSElr {costat} | R Documentation |
Log-returns time series of the SP500 and FTSE100 indices
Description
Log-returns of the SP500 and FTSE indices between 21th June 1995 until 2nd October 2002. Only trading days where both indices were recorded are stored. There are 2048 observations.
Usage
data(SP500FTSElr)
Format
A data frame with 2048 observations on the following 3 variables.
Date
The trading day that the index was recorded.
SP500lr
The log-return for SP500
FTSElr
The log-return for FTSE100
Source
Downloaded from Yahoo! Finance
References
Cardinali, A. and Nason, Guy P. (2013) Costationarity of Locally Stationary Time Series Using costat. Journal of Statistical Software, 55, Issue 1.
Cardinali, A. and Nason, G.P. (2010) Costationarity of locally stationary time series. J. Time Series Econometrics, 2, Issue 2, Article 1.
Examples
#
# Plot the log-returns for the SP500
#
## Not run: ts.plot(SP500FTSElr[,2])
[Package costat version 2.4.1 Index]