ch09data {FinTS}R Documentation

Financial time series for Tsay (2005, ch. 9)

Description

Financial time series used in examples in chapter 9.

Usage

data(m.fac9003)
data(m.cpice16.dp7503)
data(m.barra.9003)
data(m.5cln)
#data(m.bnd) <- documented with ch08, also used in ch09
data(m.apca0103)

Format

Source

http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)

See Also

ch01data, ch02data, ch03data, ch04data, ch05data, ch06data

Examples

data(m.apca0103)
dim(m.apca0103)
# 1440 3;  1440 = 40*36
# Are the dates all the same?
sameDates <- rep(NA, 39)
for(i in 1:39)
    sameDates[i] <- with(m.apca0103,
                         all.equal(date[1:36], date[(i*36)+1:36]))
stopifnot(all(sameDates))
M.apca0103 <- with(m.apca0103, array(return, dim = c(36, 40), dimnames =
    list(NULL, paste("Co", CompanyID[seq(1, 1440, 36)], sep=""))))

[Package FinTS version 0.4-7 Index]