TsayData               package:fSeries               R Documentation

_R_u_e_y _T_s_a_y'_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 '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.

_R_e_f_e_r_e_n_c_e_s:

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

_E_x_a_m_p_l_e_s:

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