ch11data

aa.3rv

Financial time series used in examples in chapter 11.

datasets

R companion to Tsay (2005) Analysis of Financial Time
Series, second edition (Wiley).  Includes data sets, functions and
script files required to work some of the examples.  Version 0.3-x
includes R objects for all data files used in the text and script
files to recreate most of the analyses in chapters 1-3 and 9 plus
parts of chapters 4 and 11.

Georgi Boshnakov

FinTS

Companion to Tsay (2005) Analysis of Financial Time Series

Spencer Graves

ch11data function

The text of chapter 11 considers one data set not used in previous
 chapters plus two that are. Monthly excess returns of GM stock are
 used in Table 9.1 of Chapter 9. Quarterly earnings of Johnson and
 Johnson are used in Chapter 2.
The data set introduced with Chapter 11 is as follows:
<dl>
 <dt>aa.3rv.</dt>
<dd>a zoo object of daily 5, 10, and 20 minute realized volatility of
 Alcoa stock from 2003-01-02 through 2004-05-07.</dd> 
</dl>

Format

Financial time series for Tsay (2005, ch. 11) — ch11data

The text of chapter 11 considers one data set not used in previous
 chapters plus two that are. Monthly excess returns of GM stock are
 used in Table 9.1 of Chapter 9. Quarterly earnings of Johnson and
 Johnson are used in Chapter 2.
The data set introduced with Chapter 11 is as follows:
<dl>
 <dt>aa.3rv.</dt>
<dd>a zoo object of daily 5, 10, and 20 minute realized volatility of
 Alcoa stock from 2003-01-02 through 2004-05-07.</dd>

 
</dl>

ch11data: Financial time series for Tsay (2005, ch. 11)

Description

Usage

Arguments

Format

References

See Also