MillsData {fSeries} | R Documentation |
A collection and description of data sets
from the book 'The Econometric Modelling of
Financial Time Series" written by Terence C.
Mills.
The data sets are:
RS.txt | Monthly 91 day Treasury Bill rate, |
R20.txt | Monthly Yield on 20 Year UK Gilts, |
RSQ.txt | Quarterly 91 day Treasury Bill rate, |
R20Q.txt | Quarterly Yield on 20 Year UK Gilts, |
RSQREAL.txt | Quarterly real 91 day Treasury Bill rate, |
FTAPRICE.txt | FTA All Share Price Index, |
FTADIV.txt | FTA All Share Dividend Index, |
FTARET.txt | FTA All Share Nominal Returns, |
RPI.txt | UK Retail Price Index, |
EXCHD.txt | Dollar/Sterling Exchange Rate, |
EXCHQ.txt | Dollar/Sterling Exchange Rate, |
SP500.txt | SP 500 Annual Data Index, |
SP500R.txt | SP 500 Real Returns, |
SP500D.txt | SP 500 Daily Data Index, |
FT30.txt | FT 30 Index, |
FTSE100.txt | FTSE 100 Index, |
CTLD.txt | Courtaulds Share Price, |
LGEN.txt | Legal and General Share Price, |
PRU.txt | Prudential Share Price. |
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.
Mills, T.C. (1999); The Econometric Modelling of Financial Time Series, Second Edition, Cmbridge University Press.
## SOURCE("fBasics.36B-Data") ## RS.txt - data(RS) plot(as.ts(RS))