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The monthly returns of the stocks of International Business Machines (IBM) and the S&P 500 composite index from January 1926 to December 2011.
ibmSp500
A data frame with 1,032 observations on the following 3 variables.
date
a numeric vector
ibm
sp
Tsay, R. S. (2010). Analysis of Financial Time Series. Hoboken, NJ: Wiley. Third edition.
Tsay, R. S. (2014). Multivariate Time Series Analysis with R and Financial Applications. Hoboken, NJ: Wiley.
# \donttest{ ### attach(ibmSp500) ### series <- tail(ibmSp500[, 2:3], 400) ### lseries <- log(series + 1) ### mADCFplot(lseries, MaxLag = 12) ### mADCFplot(lseries^2, MaxLag = 12) # }
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