portes (version 6.0)

CRSP: Monthly simple returns of the CRSP value-weighted index, 1926 to 1997

Description

This data has been discussed by Tsay (2002, Ch.2, p.38 and 39) and Lin and McLeod (2008). There are 864 data values.

Usage

data(CRSP)

References

Lin, J.-W. and McLeod, A.I. (2008). "Portmanteau Tests for ARMA Models with Infinite Variance". Journal of Time Series Analysis, 29, 600-617.

Tsay, R. S. (2002). Analysis of Financial Time Series. Wiley, New York.

Examples

acf(CRSP)