assets {sym.arma}

Returns of the daily closing prices of assets, Standard and Poors 500 Index and T-bill rates

Description

Returns for all the trading days from November 1, 1993 to April 3, 2003.

Usage

data("assets")

Format

A data frame with 2363 observations on the following 8 variables.

tbill

a vector of returns of the T-bill rates for the trading days.

msf

a vector of returns of the daily closing prices of Microsoft Corporation.

sp500

a vector of returns of the Standard and Poors 500 index for the trading days.

ge

a vector of returns of the daily closing prices of General Electric Company.

ford

a vector of returns of the daily closing prices of Forward Industries Inc.

day

day of trading.

month

month of trading.

year

year of trading.

References

Ruppert, D (2004) Statistics and Finance. Springer, New York.

Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. Fourth edition. Springer.