MofitsData              package:fBasics              R Documentation

_f_B_a_s_i_c_s _D_a_t_a _S_e_t_s _f_r_o_m _M_o_F_i_T_S

_D_e_s_c_r_i_p_t_i_o_n:

     Public data sets used for the examples from the book  "Modeling
     Financial Time Series with S-Plus" by  E. Zivot and J. Wang. 

     The data sets are:

       'CPI.dat'              Seasonally adjusted US Consumer Price Index,
       'DowJones30.csv'       Dow Jones Industrial Average Index,
       'highFreq3M.df'        3M High Frequency Stock Market Data,
       'IP.dat'               Seasonally Adjusted US Industrial Production Index,
       'lexrates.dat'         Spot and Forward Exchange Rate Data,
       'msft.dat'             Open, High, Low, Close of Microsoft Stocks,
       'shiller.dat'          Robert Shiller's Monthly Economic Data Set,
       'shiller.annual'       Robert Shiller's Monthly Economic Data Set,
       'singleIndex.dat.csv'  Microsoft Stocks and SP500 Index Data,
       'varex.ts.csv'         Real Stock Returns and Output Growth Data,
       'yhoo.df'              Yahoo Stock Information.

_D_e_t_a_i_l_s:

     *Dow Jones Industrial Average:* 

      The file 'DowJones30.csv' contains closing prices for the  30
     stocks represented in the Dow Jones Industrial Average Index.  
      Data are downloadable and can be updated from Yahoo's web site.  

     *Microsoft Stocks and SP500 Index Data:* 

      The file 'singleIndex.dat.csv' contains the monthly closing 
     prices for Microsoft Corporation and the SP 500 index. 

     *Open, High, Low, Close of Microsoft Stocks:* 

      The file 'msft.dat.csv' contains data representing the open, 
     high, low, close and volume information for Microsoft stocks.  
      Data are downloadable and can be updated from Yahoo's web site. 

     *IP and CPI Index Data:* 

      The file 'IP.dat.csv' contains data representing seasonally 
     adjusted US Industrial Production Index and the file 
     'CPI.dat.csv' contains data representing seasonally  adjusted US
     Consumer Price Index.  
      Data are downloadable and can be updated from Economagics's web
     site.  

     *3M high Frequency Data:* 

      The file 'highFreq3M.df.csv' holds Tsay's data for 3M. Date 
     information is expressed as the day of the month and the number of
      seconds from midnight Data is for December 1999. Columns are: day
     -  integer representing the trading day of the month, sec -
     trade.time  integer representing the trading time recorded as the
     number of  seconds from midnight, price transaction price in
     dollars. Downloadable from: 
      _http://www.gsb.uchicago.edu/fac/ruey.tsay/teaching/fts_ 

     *Spot and Forward Exchange Rate Data:* 

      The file 'lexrates.dat.csv' holds log spot exchange and  forward
     exchange rates between  'USCNS, USCNF' -  USD and CAD, Canadian
     Dollar, 'USDMS, USDMF' -  USD and DEM, Deutsche Mark, 'USFRS,
     USFRF' -  USD and FFR, French Franc, 'USILS, USJYF' -  USD and
     JPY, Italian Lira, and  'USUKS, USUKF' -  USD and GBP, Japanese
     Yen. 
      _Source: Thompson Financial, formerly Datastream_, see also:
     _Zivot, E. (2000) Cointegration and forward and spot exchange 
     rate regressions, Journal of International Money and Finance,  19,
     387-401 and 785-812._ 

     *Robert Shillers Monthlly and Annual Economic Data:* 

      The files 'shiller.dat.csv' and 'shiller.annual.csv' hold data
     used in the book "Irrational Exuberance" by Robert Shiller. The 
     data are  'price' - monthly nominal US SP stock market prices,
     'dividend' - nominal SP Composite Index dividends, 'earnings' -
     nominal SP Composite Index earnings, 'cpi' - US Consumer Price
     Indexes, 'real.price' - real US stock market prices,
     'real.dividend' - real SP Composite Index dividends,
     'real.earnings' - real SP Composite Index earnings, 'pe.10' -
     price-earnings ratios, 'dp.ratio' - dividend-price ratios,
     'dp.yield' - dividend-price yield. The last two are only  listed
     in 'shiller.annual'. The series start January 1871 and end on
     March 2001. Data are available from: 
      _Shiller, R.J. (1989) Market Volatility, MIT Press._
      _Shiller, R.J. (2001) Irrational Exuberance, Broadway Books._ 

     *Yahoo Stock Information:* 

        The file 'yhoo.df.csv' contains data representing daily 
     transaction information of Yahoo stock, with the following  six
     columns: Date, Open, High, Low, Close, Volume. 
      Data are downloadable and can be updated from Yahoo's web site. 

     *Real Stock Returns and Output Growth Data:* 

        The file 'varex.ts.csv' contains real stock returns and output 
     growth data. The column MARKET.REAL lists continuously compounded 
     real returns on the SP500 index, the column RF.REAL lists real 
     interest rates of 30-day US Treasury Bills, the column INF lists
     continuously compounded growth rate of US CPI, and the column IPG
     lists continuously compounded growth rate of US industrial 
     production. The data are monthly starting December 1959 and 
     ending December 2000. 
      Data are downloadable and can be updated from Economagic's web
     site.

_E_x_a_m_p_l_e_s:

     ## DowJones30 - 
        xmpBasics("\nStart: Dow Jones Industrial Average > ")
        data(DowJones30)
        class(DowJones30)
        DowJones30.ts = as.timeSeries(DowJones30)
        class(DowJones30.ts)
        head(DowJones30.ts)

