fret {costat}R Documentation

Particular section of FTSE log-return series.

Description

Observations 256:767 from the SP500 log-returns series stored in SP500FTSElr dataset.

Usage

data(fret)

Format

A vector of 512 observations of the FTSE100 log-returns series

Details

Its just more convenient to refer to fret than to SP500FTSElr[256:767,3].

Source

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

## Not run: ts.plot(fret)

[Package costat version 2.4 Index]