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

ch04data.Rd

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