\HeaderA{TsayData}{Ruey Tsay's Data Sets}{TsayData}
\aliasA{dciti.txt}{TsayData}{dciti.txt}
\aliasA{dcscointc.txt}{TsayData}{dcscointc.txt}
\aliasA{dcscoy99ln.txt}{TsayData}{dcscoy99ln.txt}
\aliasA{dgnp82.txt}{TsayData}{dgnp82.txt}
\aliasA{dibmln.txt}{TsayData}{dibmln.txt}
\aliasA{dibmln98.txt}{TsayData}{dibmln98.txt}
\aliasA{dibmln99.txt}{TsayData}{dibmln99.txt}
\aliasA{dintc.txt}{TsayData}{dintc.txt}
\aliasA{dmmm.txt}{TsayData}{dmmm.txt}
\aliasA{dmsft.txt}{TsayData}{dmsft.txt}
\aliasA{dvwew.txt}{TsayData}{dvwew.txt}
\aliasA{exchperc.txt}{TsayData}{exchperc.txt}
\aliasA{hkja.txt}{TsayData}{hkja.txt}
\aliasA{ibm.txt.txt}{TsayData}{ibm.txt.txt}
\aliasA{ibm1to5dur.txt}{TsayData}{ibm1to5dur.txt}
\aliasA{ibm91ads.txt}{TsayData}{ibm91ads.txt}
\aliasA{ibm91adsx.txt}{TsayData}{ibm91adsx.txt}
\aliasA{ibm9912tp.txt}{TsayData}{ibm9912tp.txt}
\aliasA{ibmdurad.txt}{TsayData}{ibmdurad.txt}
\aliasA{ibmy98.txt}{TsayData}{ibmy98.txt}
\aliasA{jnj.dat}{TsayData}{jnj.dat}
\aliasA{m3m4699.txt}{TsayData}{m3m4699.txt}
\aliasA{m5cln.txt}{TsayData}{m5cln.txt}
\aliasA{mew.txt}{TsayData}{mew.txt}
\aliasA{mgeln.txt}{TsayData}{mgeln.txt}
\aliasA{mgs.txt}{TsayData}{mgs.txt}
\aliasA{mgs1n3.txt}{TsayData}{mgs1n3.txt}
\aliasA{mibmln.txt}{TsayData}{mibmln.txt}
\aliasA{mibmln99.txt}{TsayData}{mibmln99.txt}
\aliasA{mibmsp6299.txt}{TsayData}{mibmsp6299.txt}
\aliasA{mibmspln.txt}{TsayData}{mibmspln.txt}
\aliasA{mibmsplnsu.txt}{TsayData}{mibmsplnsu.txt}
\aliasA{mintc.txt}{TsayData}{mintc.txt}
\aliasA{mmmm.txt}{TsayData}{mmmm.txt}
\aliasA{msp6299.txt}{TsayData}{msp6299.txt}
\aliasA{mvw.txt}{TsayData}{mvw.txt}
\aliasA{qgnp.txt}{TsayData}{qgnp.txt}
\aliasA{qunemrate.txt}{TsayData}{qunemrate.txt}
\aliasA{sp500.txt}{TsayData}{sp500.txt}
\aliasA{sp5may.txt}{TsayData}{sp5may.txt}
\aliasA{wgs1yr.txt}{TsayData}{wgs1yr.txt}
\aliasA{wgs3c.txt}{TsayData}{wgs3c.txt}
\aliasA{wgs3n1c.txt}{TsayData}{wgs3n1c.txt}
\aliasA{wgs3yr.txt}{TsayData}{wgs3yr.txt}
\aliasA{wtb3ms.txt}{TsayData}{wtb3ms.txt}
\aliasA{wtb6ms.txt}{TsayData}{wtb6ms.txt}
\keyword{datasets}{TsayData}
\begin{Description}\relax
A collection and description of data sets 
from the book 'Analysis of Financial Time
Series" written by Ruey S. Tsay.
\\

The data sets are:

Chapter 1, Financial Time Series and Their Characteristics

\Tabular{ll}{
\code{dibmln.txt} & Daily log returns of IBM (62/7/3 to 97/12), \\  
\code{dvwew.txt} & Daily simple returns of valueweighted and equalweighted indexes, \\ 
\code{dintc.txt} & Daily simple returns of Intel stock, \\   
\code{dmmm.txt} & Daily simple returns of 3M stock, \\ 
\code{dmsft.txt} & Daily simple returns of Microsoft stock, \\ 
\code{dciti.txt} & Daily simple returns of Citigroup stock, \\ 
\code{mbnd.txt} & Monthly bond returns (30 yrs, 20 yrs, ..., 1 yr), \\ 
\code{mgs.txt} & Monthly Treasury rates (10 yrs, 5 yrs, ..., 1 yr), \\ 
\code{wtb3ms.txt} & 3M Weekly Treasury Bill rates, \\ 
\code{wtb6ms.txt} & 6M Weekly Treasury Bill rates. }


Chapter 2, Linear Time Series Analysis and Its Applications

\Tabular{ll}{
\code{qgnp.txt} & US quarterly growth rates of GNP, \\ 
\code{mvw.txt} & Monthly valueweighted index returns, \\ 
\code{mew.txt} & Monthly equalweighted index returns, \\ 
\code{m3m4699.txt} & Monthly log returns of 3M stock, \\ 
\code{jnj.txt} & Quarterly earnings per share of Johnson and Johnson, \\ 
\code{wgs1yr.txt} & Weekly US Treasury 1y constant maturity rates, \\  
\code{wgs3yr.txt} & Weekly US Treasury 3y constant maturity rates. } 


Chapter 3, Conditional Heteroscedastic Models

\Tabular{ll}{
\code{mintc.txt} & Monthly simple returns of Intel stock, \\ 
\code{exchperc.txt} & 10m log returns of FX (MarkUS), \\ 
\code{sp500.txt} & Excess returns of S\&P500, \\ 
\code{mibmln.txt} & Monthly log returns of IBM stock, \\ 
\code{dhwp3dx8099.txt} & Daily log returns of SP500 index, \\ 
\code{mibmspln.txt} & Monthly log returns of IBM stock and SP500, \\ 
\code{mibmsplnsu.txt} & Data set for Example 3.5. }


Chapter 4, Nonlinear Models and Their Applications

\Tabular{ll}{
\code{mew.txt} & Monthly simple returns of equalweighted index, \\ 
\code{dibmln99.txt} & Daily log returns of IBM stock, \\ 
\code{mmmm.txt} & Monthly simple returns of 3M stock, \\ 
\code{qgnp.txt} & Quarterly growth rates of US gnp, \\ 
\code{mibmln99.txt} & Monthly log returns of IBM stock, \\ 
\code{qunemrate.txt} & Quarterly unemployment rates. }


Chapter 5, HighFrequency Data Analysis and Market Microstructure

\Tabular{ll}{
\code{ibm.txt} & IBM transactions data 1990-11-01 1991-01-31, \\   
\code{ibm9912tp.txt} & IBM transactions data of December 1999, \\   
\code{ibmdurad.txt} & IBM Adjusted time durations between trades, \\ 
\code{ibm1to5dur.txt} & IBM Adjusted durations for first 5 trading days, \\ 
\code{ibm91ads.txt} & IBM Data for Example 5.2 - ADS file, \\ 
\code{ibm91adsx.txt} & IBM explanatory variables as defined, \\ 
\code{day15ori.txt} & IBM Transactions data 1990-11-21, original data, \\ 
\code{day15.txt} & IBM Data for PCD models.}


Chapter 7, Extreme Values, Quantile Estimation, and Value at Risk

\Tabular{ll}{
\code{dibmln98.txt} & Daily perdentage log returns of IBM stock, \\ 
\code{dintc7297.txt} & Daily log returns of Intel stock, Example 7.4, \\ 
\code{ibmln98wm.txt} & Meancorrected daily log returns of IBM, \\ 
\code{ibml25x.txt} & The explanatory variables on page 294. }


Chapter 8, Multivariate Time Series Analysis and Its Applications

\Tabular{ll}{
\code{mibmspln.txt} & Monthly log returns of IBM and SP 500, \\ 
\code{mbnd.txt} & Monthly simple returns of bond indexes, \\  
\code{mgs1n3.txt} & Monthly US interest rates, Example 8.6, \\  
\code{sp5may.txt} & Log prices of SP500 index futures and shares, \\ 
\code{m5cln.txt} & Monthly log returns of IBM, HWP, INTC, MER and MWD. }


Chapter 9, Multivariate Volatility Models and Their Applications

\Tabular{ll}{
\code{hkja.txt} & Daily log returns of HK and Japan market index, \\ 
\code{mibmspln.txt} & Monthly log returns of IBM and SP 500, \\ 
\code{dcscointc.txt} & Daily log returns of SP 500, Cisco and Intel stocks. } 


Chapter 10, Markov Chain Monte Carlo Methods with Applications

\Tabular{ll}{
\code{wgs3n1c.txt} & Change series of weekly US interest rates, 3Y and 1Y, \\ 
\code{wgs3c.txt} & Change series of weekly US 3yr interest rate, \\ 
\code{msp6299.txt} & Monthly log returns of SP 500 index, \\ 
\code{mibmsp6299.txt} & Monthly log returns of IBM stock and SP 500, \\ 
\code{mgeln.txt} & Monthly log returns of GE stock. }
\end{Description}
\begin{References}\relax
Tsay, R.S. (2002);
\emph{ Analysis of Financial Time Series},
Wiley.
\end{References}
\begin{Examples}
\begin{ExampleCode}
## SOURCE("fBasics.36C-TsayData")

## *.txt - 
  
\end{ExampleCode}
\end{Examples}

