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| berndt | Monthly returns on 16 assets and risk free rates from January 1983 through December 1992 |
| black | Monthly returns on 16 assets from January 1983 through December 1992 |
| consump | Annual comsumption data from 1960 to 1995 |
| CPI | Monthly CPI data from January 1913 through November 2001 |
| danish | Daily Danish fire loss data |
| dellReturns | Daily stock returns of Dell Computer Corporation from October 1993 to October 1998 |
| dellVolume | Daily trading volume of Dell Computer Corporation stock from October 1993 to October 1998 |
| DFX | Weekly returns on the Dutch Guilder spot exchange rate from January 1980 to December 1998 |
| DJ30 | Daily Dow Jones 30 stock price from January 1992 to September 1999 |
| djia | Daily Dow Jone Industrial Average from January 1915 to February 1990 |
| DOC | Monthly U.S. Department of Commerce data from January 1959 to January 1995 |
| ewmaVol | Exponentially weighted moving average (EWMA) volatility estimation |
| excessReturns | Monthly excess returns on Microsoft and S&P 500 from February 1990 to December 2000 |
| fitted.ewmaVol | fitted.ewmavol() |
| folio | Weekly returns on 1618 stocks from January 1997 to June 2000 |
| ford | Daily returns on Ford stock from February 1984 to December 1991 |
| frip | Monthly industrial production of France from January 1960 to December 1989 |
| fwdRate | Monthly forward rates of U.S. coupons from August 1985 to February 1991 |
| german | Daily log returns on BMW and Siemens stock from January 1973 through July 1996 |
| highFreq3M | Transactions level data on 3M Corporation stock for December 1999 |
| hp | Daily returns on HP stock from February 1984 to December 1991 |
| import | Monthly Argentinian imports and import taxes from Januaray 1983 to December 1990 |
| IP | Monthly observations on industrial production growth from January 1919 to November 2001 |
| johansen | Monthly returns on Danish stocks from January 1974 to March 1987 taken from Johansen (1995) |
| lexrates | Monthly annual interest rate differential between US and other countries from February 1976 and June 1996 |
| maturity | Cooresponding maturity of U.S. zero coupon rates and forward rates |
| msft | Daily open, high, low, close and volume on Microsoft stock from September 2000 to September 2001 |
| ndx | Daily open, high, low, close and volume on the NASDAQ 100 from January 1996 to October 2001 |
| newtaxes | newtaxes |
| nyse | Daily returns on a value weighted New York Stock Exchange Index from February 1984 to December 1991 |
| policy | Monthly data on U.S. real GDP and the Federal Funds rate from January 1959 to March 1998 |
| pricing | Monthly data on ten size-based portfolios from the Center for Research in Security Prices (CRSP) database from February 1959 to November 1993 |
| print.ewmaVol | print.ewmavol() |
| residuals.ewmaVol | residuals.ewmavol() |
| rf30 | Monthly data on the annual nominal interest rate of the 30 day T-bill from July 1926 to December 2000 |
| shiller | Monthly S&P 500 dividend information from 1871 to 2000 |
| shillerAnnual | Yearly S&P 500 dividend information from 1871 to 2000 |
| singleIndex | Monthly closing price on Microsoft and the S&P 500 Index from January 1990 to January 2001 |
| sp | Daily closing price of the S&P 500 Index from January 1960 to October 1987 |
| sp500 | Daily returns of the S&P 500 Index from January 1928 to August 1991 |
| stackLoss | stackLoss |
| stackX | stackX |
| varex | Monthly data on real stock returns, real interest rates, inflation and real output growth from July 1926 to December 2000 |
| yahoo | Daily open, high, low, close and volume on Yahoo stock for the month of February 2002 |
| zeroRate | Monthly zero coupon rates from August 1985 to February 1991 |