DJIA {ecp}

Dow Jones Industrial Average Index

Description

The weekly log returns for the Dow Jones Industrial Average index from April 1990 to January 2012.

Usage

data(DJIA)

Format

A list with the following components.

dates: A character vector of dates associated with each observation in the returns series.

index: Weekly log returns from April 1990 to January 2012 of the DOW 30 index.

market: Weekly log returns from April 1990 to January 2012, for the companies in the DOW 30 apart from Kraft.

Source

http://research.stlouisfed.org/fred2/series/DJIA/downloaddata

References

Nicholas A. James, David S. Matteson (2014). "ecp: An R Package for Nonparametric Multiple Change Point Analysis of Multivariate Data.", "Journal of Statistical Software, 62(7), 1-25", URL "http://www.jstatsoft.org/v62/i07/"

Examples

data(DJIA, package="ecp")