Financial time series used in examples in chapter 10.
data(d.hkja)
data(m.pfe6503)
data(m.mrk6503)
#data(m.ibmsp2699)
# <- 2 of the 4 columns in m.ibmsp2699ln
# documented with ch08data
data(d.spcscointc)One data set used in chapter 10 is also used earlier: 'm.ibmsp2699' is the first 2 of the 4 columns of 'm.ibmsp2699ln' used in chapter 8.
The other data sets used in chapter 10 are as follows:
zoo object giving the daily log returns of HK and Japan market indices from 1996-01-01 through 1997-05-05 (used in Example 10.1).
zoo objects giving the monthly simple returns including dividends of Pfizer and Merk stocks.
data.frame giving 2275 daily log returns of three items from January 2, 1991 through December 31, 1999:
Standard & Poor's 500 index
Cisco stock
Intel stock
NOTE: This date range seems to include 2280 trading days in the New York Stock Exchange. Since the file on the book's web site did not include dates and since there appear to be more trading days than observations, dates are not currently provided with these observations. This may change with a future revision of this package.
Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 10)
ch01data,
ch02data,
ch03data,
ch04data,
ch05data,
ch06data,
ch07data,
ch08data,
ch09data