FinancialData {mlmts}

FinancialData

Description

Dataset containing 50 financial MTS associated with companies in the S&P 500 index.

Usage

data(FinancialData)

Format

A list with two elements, which are:

data

A list with 50 MTS.

classes

A character vector indicating the abbreviations associated with the series (companies) in data.

Details

Each element in data is a matrix formed by 654 rows (series length) and 2 columns (dimensions). Each MTS represents a company in the top 50 of the S&P 500 index according to market capitalization. One dimension measures the daily returns of the company, whereas the other measures the daily change in trading volume. The sample period spans from 6th July 2015 to 7th February 2018.