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Financial time series for Tsay (2005, ch. 8)

ch08data.Rd

Financial time series used in examples in chapter 8.

Usage

data(m.ibmsp2699ln)
data(m.bnd)
data(m.gs1n3.5301)
data(w.tb3n6ms)
data(sp5may)

Format

  • m.ibmsp2699ln zoo object giving monthly simple and log returns of IBM stock and the Standard and Poor's 500 from 1926 through 1999. (This combines files 'm-ibmsp2699.txt' and 'm-ibmspln.txt' from the book's web site.)

  • m.bnd zoo object giving the monthly simple returns of 30, 20, 10, 5 and 1 year maturity bonds from 1942 through 1999.

  • m.gs1n3.5301 zoo object giving 1 and 3 year US Treasury constant maturity interest rates from April 1953 to January 2001 (used in Example 8.6, pp. 373ff).

  • w.tb3n6ms zoo object giving weekly 3 and 6 month US Treasury Bill interest rates from 1958-12-12 to 2004-08-06 (used in Sect. 8.6.5, pp. 385ff).

  • sp5may A data.frame of 7061 observations on 4 variables based on minute-by-minute observations of the Standard and Poor's 500 Futures and prices in May 1993. These data are used, after some processing, in Tsay(Sect. 8.7.2, pp. 392ff). Unfortunately, it's not yet clear what these numbers are. The following is a current guess and will doubtless change in the future.

    • logFuture logarithms of June Futures contracts traded at the Chicago Mercantile Exchange. The first difference of this series appears to be plotted in Figure 8.16(a), after replacing '10 extreme values (5 on each side) by the simple average of their two nearest neighbors.' (p. 392)

    • logPrice logarithms of Standard and Poor's 500 price levels. The first differences of this series appears to be plotted in Figure 8.16(b), after adjustment similar to that for 'logFuture'.

    • dailyAvgSomething numbers that assume 19 distinct levels separated by 18 discrete jumps. The name of this will likely change whenever more information about it can be obtained for this documentation.

    • day index for the 19 distinct levels assumed by 'dailyAvgSomething'. This is probably the trading day in May 1993. However, there appear to have been 20 trading days in that month, so if these 19 levels do correspond to trading days, it's not clear which date is missing.

      These data were analyzed by Forbes, Kalb, and Kofman (1999); Tsay (1998) was also referenced with the discussion of the analysis of these data.

Source

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

References

Forbes, C. S., Kalb, G. R. J., and Kofman, P. (1999) 'Bayesian Arbitrage Threshold Analysis', Journal of Business and Economic Statistics, 17: 364-372.

Ruey Tsay (1998) 'Testing and Modeling Multivariate Threshold Models', Journal of the American Statistical Association, 93: 1188-1202.

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 8)

See also

ch01data, ch02data