| ch02data {FinTS} | R Documentation |
Financial time series used in examples in chapter 2.
data(m.ibm2697) data(m.vw2697) data(q.gnp4791) data(m.ibm3dx2603) data(m.3m4697) data(q.gdp4703) data(d.sp9003lev) data(q.jnj) data(m.decile1510) data(w.gs1n36299)
Objects of class zoo giving simple returns for each trading period (day, week or month) for different periods.
The 'index' of 'm.decile1510' has class 'Date'. Since it's a monthly series, it would be better for many purposes if it had 'index' of class 'yearmon'. See the 'examples' below for how to achieve this conversion.
To get data covering January 4, 1962, through September 10, 1999, use window(w.gs1n36299, start=as.Date("1962-01-12"), end=as.Date("1999-09-10")); see 'examples' below.
Spencer Graves with help from Gabor Grothendieck.
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2
Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 2)
##
## m.decile1510 has 'index' of class 'Date'
## Since it's a monthly series, for many purposes,
## it should have 'index' of class 'yearmon'.
## To get this, do the following:
##
data(m.decile1510)
mDecile1510 <- zoo(m.decile1510, as.yearmon(index(m.decile1510)))
##
## w.gs1n36299 covers a broader range than used in
## Tsay (2005, sec. 2.9, pp. 80ff): subset using 'window':
##
data(w.gs1n36299)
w.gs1n3 <- window(w.gs1n36299, start=as.Date("1962-01-12"),
end=as.Date("1999-09-10"))