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The data set used in Wright (2001) as an application, weekly from August, 7, 1974 to May 29 1996
data(exrates)
A data frame with 1139 observations on the following 5 variables.
ca
a numeric vector, Canadian Dollar
dm
a numeric vector, Deutch Mark
ff
a numeric vector, French Franc
uk
a numeric vector, UK Pound
jp
a numeric vector, Japanese Yen
WRIGHT,J.H.,2000,Alternative Variance-Ratio Tests Using Ranks and Signs, Journal of Business & Economic Statistics, 18, 1-9.
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