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Financial time series for Tsay (2005, ch. 9)

ch09data.Rd

Financial time series used in examples in chapter 9.

Usage

data(m.fac9003)
data(m.cpice16.dp7503)
data(m.barra.9003)
data(m.5cln)
#data(m.bnd) <- documented with ch08, also used in ch09
data(m.apca0103)

Format

  • m.fac9003 a zoo object of 168 observations giving simple excess returns of 13 stocks and the Standard and Poor's 500 index over the monthly series of three-month Treasury bill rates of the secondary market as the risk-free rate from January 1990 to December 2003. (These numbers are used in Table 9.1.)

    • AAAlcoa

    • AGEA. G. Edwards

    • CATCaterpillar

    • FFord Motor

    • FDXFedEx

    • GMGeneral Motors

    • HPQHewlett-Packard

    • KMBKimberly-Clark

    • MELMellon Financial

    • NYTNew York Times

    • PGProctor & Gamble

    • TRBChicago Tribune

    • TXNTexas Instruments

    • SP5Standard & Poor's 500 index

  • m.cpice16.dp7503 a zoo object of 168 monthly on two macroeconomic variables from January 1975 through December 2002 (p. 412):

    • CPI consumer price index for all urban consumers: all items and with index 1982-1984 = 100

    • CE16 Civilian employment numbers 16 years and over: measured in thousands

  • m.barra.9003 a zoo object giving monthly excess returns of ten stocks from January 1990 through December 2003:

    • AGEA. G. Edwards

    • CCitigroup

    • MWDMorgan Stanley

    • MERMerrill Lynch

    • DELLDell, Inc.

    • IBMInternational Business Machines

    • AAAlcoa

    • CATCaterpillar

    • PGProctor & Gamble

  • m.5cln a zoo object giving monthly log returns in percentages of 5 stocks from January 1990 through December 1999:

    • IBMInternational Business Machines

    • HPQHewlett-Packard

    • INTCIntel

    • MERMerrill Lynch

    • MWDMorgan Stanley Dean Witter

  • m.apca0103 data.frame of monthly simple returns of 40 stocks from January 2001 through December 2003, discussed in sect. 9.6.2, pp. 437ff.

    • CompanyID5-digit company identification code

    • datethe last workday of the month

    • returnin percent

Source

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

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)

See also

ch01data, ch02data, ch03data, ch04data, ch05data, ch06data

Examples

data(m.apca0103)
dim(m.apca0103)
#> [1] 1440    3
# 1440 3;  1440 = 40*36
# Are the dates all the same?
sameDates <- rep(NA, 39)
for(i in 1:39)
    sameDates[i] <- with(m.apca0103,
                         all.equal(date[1:36], date[(i*36)+1:36]))
stopifnot(all(sameDates))
M.apca0103 <- with(m.apca0103, array(return, dim = c(36, 40), dimnames =
    list(NULL, paste("Co", CompanyID[seq(1, 1440, 36)], sep=""))))