MillsData {fSeries} | R Documentation

## Terence Mill's Data Sets

### Description

A collection and description of data sets from the book 'The Econometric Modelling of Financial Time Series" written by Terence C. Mills.

The data sets are:

`RS.txt` | Monthly 91 day Treasury Bill rate,
`R20.txt` | Monthly Yield on 20 Year UK Gilts,
`RSQ.txt` | Quarterly 91 day Treasury Bill rate,
`R20Q.txt` | Quarterly Yield on 20 Year UK Gilts,
`RSQREAL.txt` | Quarterly real 91 day Treasury Bill rate,
`FTAPRICE.txt` | FTA All Share Price Index,
`FTADIV.txt` | FTA All Share Dividend Index,
`FTARET.txt` | FTA All Share Nominal Returns,
`RPI.txt` | UK Retail Price Index,
`EXCHD.txt` | Dollar/Sterling Exchange Rate,
`EXCHQ.txt` | Dollar/Sterling Exchange Rate,
`SP500.txt` | SP 500 Annual Data Index,
`SP500R.txt` | SP 500 Real Returns,
`SP500D.txt` | SP 500 Daily Data Index,
`FT30.txt` | FT 30 Index,
`FTSE100.txt` | FTSE 100 Index,
`CTLD.txt` | Courtaulds Share Price,
`LGEN.txt` | Legal and General Share Price,
`PRU.txt` | Prudential Share Price.

### Details

RS - 91 Day Treasury Bill Rate:
Monthly data values starting in March 1952 and ending December 1995. The data set includes one column with 526 observations.

R20 - Yield on 20 Year UK Gilts:
Monthly data values starting in March 1952 and ending December 1995. The data set includes one column with 526 observations.

RSQ - 91 day Treasury Bill Rate:
Quarterly data values starting in Q1 1952 and ending Q4 1995. The data set includes one column with 176 observations.

R20Q - Yield on 20 Year UK Gilts:
Quarterly data values starting in Q1 1952 and ending Q4 1995. The data set includes one column with 176 observations.

RSQREAL - Real 91 day Treasury Bill Rate:
Quarterly data values starting in Q1 1952 and ending Q3 1995. The data set includes one column with 175 observations.

FTAPRICE - FTA All Share Price Index:
Monthly data values starting in January 1965 and ending December 1995. The data set includes one column with 372 observations.

FTADIV - FTA All Share Dividend Index:
Monthly data values starting in January 1965 and ending December 1995. The data set includes one column with 372 observations.

FTARET - FTA All Share Nominal Returns:
Monthly data values starting in January 1965 and ending December 1995. The data set includes one column with 372 observations.

RPI - UK Retail Price Index:
Monthly data values starting in January 1965 and ending December 1995. The data set includes one column with 372 observations.

EXCHD - Dollar/Sterling Exchange Rate:
Daily data values ranging from 1974 to 1994 The data set includes one column with 5'192 observations.

EXCHQ - Dollar/Sterling Exchange Rate:
Quarterly data values starting in Q1 1972 and ending Q4 1996. The data set includes one column with 100 observations.

SP500 - SP 500 Index:
Annual data values ranging from 1871 to 1997. The data set includes one column with 127 observations.

SP500R - SP 500 Real Returns:
Annual data values ranging from 1872 to 1995. The data set includes one column with 124 observations.

SP500D - SP 500 Index:
Daily data values ranging from 1928 to 1991. The data set includes one column with 17'054 observations.

FT30 - FT 30 Index:
Daily data values ranging from 1935 to 1994. The data set includes one column with 15'003 observations.

FTSE100 - FTSE 100 Index:
Weekly data values ranging from 1984 to 1993. The data set includes one column with 521 observations.

CTLD - Courtaulds Share Price:
Weekly data values ranging from 1984 to 1993. The data set includes one column with 521 observations.

LGEN - Legal and General Share Price:
Weekly data values ranging from 1984 to 1993. The data set includes one column with 521 observations.

PRU - Prudential Share Price:
Weekly data values ranging from 1984 to 1993. The data set includes one column with 521 observations.

### References

Mills, T.C. (1999); The Econometric Modelling of Financial Time Series, Second Edition, Cmbridge University Press.

### Examples

    ## SOURCE("fBasics.36B-Data")

    ## RS.txt -
       data(RS)
       plot(as.ts(RS))

[Package fSeries version 221.10065 Index]