ch09data: Financial time series for Tsay (2005, ch. 9)

Description

Financial time series used in examples in chapter 9.

Usage

data(m.fac9003)
data(m.cpice16.dp7503)
data(m.barra.9003)
data(m.5cln)
#data(m.bnd) <- documented with ch08, also used in ch09
data(m.apca0103)

Arguments

Format

m.fac9003

a zoo object of 168 observations giving simple excess returns of 13 stocks and the Standard and Poor's 500 index over the monthly series of three-month Treasury bill rates of the secondary market as the risk-free rate from January 1990 to December 2003. (These numbers are used in Table 9.1.)

AA: Alcoa
AGE: A. G. Edwards
CAT: Caterpillar
F: Ford Motor
FDX: FedEx
GM: General Motors
HPQ: Hewlett-Packard
KMB: Kimberly-Clark
MEL: Mellon Financial
NYT: New York Times
PG: Proctor & Gamble
TRB: Chicago Tribune
TXN: Texas Instruments
SP5: Standard & Poor's 500 index

m.cpice16.dp7503

a zoo object of 168 monthly on two macroeconomic variables from January 1975 through December 2002 (p. 412):

CPI: consumer price index for all urban consumers: all items and with index 1982-1984 = 100

CE16

Civilian employment numbers 16 years and over: measured in thousands

m.barra.9003

a zoo object giving monthly excess returns of ten stocks from January 1990 through December 2003:

AGE: A. G. Edwards

Citigroup

MWD

Morgan Stanley

MER

Merrill Lynch

DELL

Dell, Inc.

IBM

International Business Machines

Alcoa

CAT

Caterpillar

Proctor & Gamble

m.5cln

a zoo object giving monthly log returns in percentages of 5 stocks from January 1990 through December 1999:

IBM: International Business Machines

HPQ

Hewlett-Packard

INTC

Intel

MER

Merrill Lynch

MWD

Morgan Stanley Dean Witter

m.apca0103

data.frame of monthly simple returns of 40 stocks from January 2001 through December 2003, discussed in sect. 9.6.2, pp. 437ff.

CompanyID: 5-digit company identification code

date

the last workday of the month

return

in percent

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)

Examples

Run this code

data(m.apca0103)
dim(m.apca0103)
# 1440 3;  1440 = 40*36
# Are the dates all the same?
sameDates <- rep(NA, 39)
for(i in 1:39)
    sameDates[i] <- with(m.apca0103,
                         all.equal(date[1:36], date[(i*36)+1:36]))
stopifnot(all(sameDates))
M.apca0103 <- with(m.apca0103, array(return, dim = c(36, 40), dimnames =
    list(NULL, paste("Co", CompanyID[seq(1, 1440, 36)], sep=""))))