Financial time series for Tsay (2005, ch. 6)

Financial time series used in examples in chapter 6.

Usage

data(d.ibmy98)
data(d.cscoy99)

Format

Objects of class zoo giving returns for each trading day for different periods

d.ibmy98

Zoo object giving daily simple returns of IBM stock for each trading day in 1998.

d.cscoy99

Zoo object giving daily log returns of Cisco stock for each trading day in 1999.

Source

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

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 6)

See also

ch01data, ch02data, ch03data, ch04data, ch05data