MillsData              package:fSeries              R Documentation

_T_e_r_e_n_c_e _M_i_l_l'_s _D_a_t_a _S_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     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.

_D_e_t_a_i_l_s:

     *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.

_R_e_f_e_r_e_n_c_e_s:

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

_E_x_a_m_p_l_e_s:

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

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

