TsayData {fSeries} | R Documentation

## Ruey Tsay's Data Sets

### Description

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

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

Chapter 2, Linear Time Series Analysis and Its Applications

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

Chapter 3, Conditional Heteroscedastic Models

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

Chapter 4, Nonlinear Models and Their Applications

`mew.txt` | Monthly simple returns of equalweighted index,
`dibmln99.txt` | Daily log returns of IBM stock,
`mmmm.txt` | Monthly simple returns of 3M stock,
`qgnp.txt` | Quarterly growth rates of US gnp,
`mibmln99.txt` | Monthly log returns of IBM stock,
`qunemrate.txt` | Quarterly unemployment rates.

Chapter 5, HighFrequency Data Analysis and Market Microstructure

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

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

`dibmln98.txt` | Daily perdentage log returns of IBM stock,
`dintc7297.txt` | Daily log returns of Intel stock, Example 7.4,
`ibmln98wm.txt` | Meancorrected daily log returns of IBM,
`ibml25x.txt` | The explanatory variables on page 294.

Chapter 8, Multivariate Time Series Analysis and Its Applications

`mibmspln.txt` | Monthly log returns of IBM and SP 500,
`mbnd.txt` | Monthly simple returns of bond indexes,
`mgs1n3.txt` | Monthly US interest rates, Example 8.6,
`sp5may.txt` | Log prices of SP500 index futures and shares,
`m5cln.txt` | Monthly log returns of IBM, HWP, INTC, MER and MWD.

Chapter 9, Multivariate Volatility Models and Their Applications

`hkja.txt` | Daily log returns of HK and Japan market index,
`mibmspln.txt` | Monthly log returns of IBM and SP 500,
`dcscointc.txt` | Daily log returns of SP 500, Cisco and Intel stocks.

Chapter 10, Markov Chain Monte Carlo Methods with Applications

`wgs3n1c.txt` | Change series of weekly US interest rates, 3Y and 1Y,
`wgs3c.txt` | Change series of weekly US 3yr interest rate,
`msp6299.txt` | Monthly log returns of SP 500 index,
`mibmsp6299.txt` | Monthly log returns of IBM stock and SP 500,
`mgeln.txt` | Monthly log returns of GE stock.

### References

Tsay, R.S. (2002); Analysis of Financial Time Series, Wiley.

### Examples

    ## SOURCE("fBasics.36C-TsayData")

    ## *.txt -

[Package fSeries version 221.10065 Index]