SP500FTSElr

Log-returns of the SP500 and FTSE indices between
	21th June 1995 until 2nd October 2002. Only trading days where
	both indices were recorded are stored. There are 2048
	observations.

datasets

Contains functions that can determine whether a time series
is second-order stationary or not (and hence evidence for
locally stationarity). Given two non-stationary series (i.e.
locally stationary series) this package can then discover
time-varying linear combinations that are second-order stationary.
Cardinali, A. and Nason, G.P. (2013)
<doi:10.18637/jss.v055.i01>.

Guy Nason

costat

Time Series Costationarity Determination

Alessandro Cardinali

SP500FTSElr function

A data frame with 2048 observations on the following 3 variables.<dl>
 <dt><code>Date</code></dt>
<dd>The trading day that the index was recorded.</dd> <dt><code>SP500lr</code></dt>
<dd>The log-return for SP500</dd> <dt><code>FTSElr</code></dt>
<dd>The log-return for FTSE100</dd> 
</dl>

Format

Log-returns time series of the SP500 and FTSE100 indices — SP500FTSElr

A data frame with 2048 observations on the following 3 variables.<dl>
 <dt><code>Date</code></dt>
<dd>The trading day that the index was recorded.</dd>

 <dt><code>SP500lr</code></dt>
<dd>The log-return for SP500</dd>

 <dt><code>FTSElr</code></dt>
<dd>The log-return for FTSE100</dd>

 
</dl>

SP500FTSElr: Log-returns time series of the SP500 and FTSE100 indices

Description

Usage

Arguments

Format

References

Examples