fSeriesMills {fSeries}R Documentation

Terence Mill's Data Sets

Description

A collection of data sets from the book "The Econometric Modelling of Financial Time Series" written by Terence C. Mills.

The data sets are:

1 RS.txt Monthly 91 day Treasury Bill rate,
2 R20.txt Monthly Yield on 20 Year UK Gilts,
3 RSQ.txt Quarterly 91 day Treasury Bill rate,
4 R20Q.txt Quarterly Yield on 20 Year UK Gilts,
5 RSQREAL.txt Quarterly real 91 day Treasury Bill rate,
6 FTAPRICE.txt FTA All Share Price Index,
7 FTADIV.txt FTA All Share Dividend Index,
8 FTARET.txt FTA All Share Nominal Returns,
9 RPI.txt UK Retail Price Index,
10 EXCHD.txt Dollar/Sterling Exchange Rate,
11 EXCHQ.txt Dollar/Sterling Exchange Rate,
12 SP500.txt SP 500 Annual Data Index,
13 SP500R.txt SP 500 Real Returns,
14 SP500D.txt SP 500 Daily Data Index,
15 FT30.txt FT 30 Index,
16 FTSE100.txt FTSE 100 Index,
17 CTLD.txt Courtaulds Share Price,
18 LGEN.txt Legal and General Share Price,
19 PRU.txt Prudential Share Price.

Details

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.

References

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

Examples

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

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