Financial time series for Tsay (2005, ch. 4)

Financial time series used in examples in chapter 4.

Usage

data(m.unrate)
#d.ibmvwewsp6203
#m.3m4697
#q.gnp4791
data(w.3mtbs7097)
data(m.ibmln2699)
data(q.unemrate)

Format

Three data stes used in chapter 4 are also used earlier: 'd.ibmvwewsp6203' is used in chapter 1, and 'm.3m4697' and 'q.gnp4791' are used in chapter 2; these three data objects are docuemented in 'ch01data' or 'ch02data'.

The other data sets used in chapter 4 are as follows:

m.unrate

zoo object giving the monthly US civilian unemployment rate from 1948 through 2004.

w.3mtbs7097

zoo object giving the US weekly 3-month treasury bill rate in the secondary market from 1970 through 1997.

m.ibmln2699

zoo object giving the monthly log returns in percentages of IBM stock from 1926 through 1999.

q.unemrate

zoo object giving the US quarterly unemployment rate seasonally adjusted from 1948 through 1993.

Source

https://faculty.chicagobooth.edu/ruey-s-tsay/teaching

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 4)

See also

ch01data ch02data