Book contents
- Frontmatter
- Contents
- List of figures
- List of tables
- Preface to the third edition
- 1 Introduction
- 2 Univariate linear stochastic models: basic concepts
- 3 Univariate linear stochastic models: testing for unit roots and alternative trend specifications
- 4 Univariate linear stochastic models: further topics
- 5 Univariate non-linear stochastic models: martingales, random walks and modelling volatility
- 6 Univariate non-linear stochastic models: further models and testing procedures
- 7 Modelling return distributions
- 8 Regression techniques for non-integrated financial time series
- 9 Regression techniques for integrated financial time series
- 10 Further topics in the analysis of integrated financial time series
- Data appendix
- References
- Index
Data appendix
Published online by Cambridge University Press: 05 June 2012
- Frontmatter
- Contents
- List of figures
- List of tables
- Preface to the third edition
- 1 Introduction
- 2 Univariate linear stochastic models: basic concepts
- 3 Univariate linear stochastic models: testing for unit roots and alternative trend specifications
- 4 Univariate linear stochastic models: further topics
- 5 Univariate non-linear stochastic models: martingales, random walks and modelling volatility
- 6 Univariate non-linear stochastic models: further models and testing procedures
- 7 Modelling return distributions
- 8 Regression techniques for non-integrated financial time series
- 9 Regression techniques for integrated financial time series
- 10 Further topics in the analysis of integrated financial time series
- Data appendix
- References
- Index
Summary
The following series can be obtained from http://lboro.ac.uk/departments/ec/cup.
RS: 91-day Treasury bill rate, monthly, March 1952 to December 2005 (648 observations).
R20: Yield on 20-year UK gilts, monthly, March 1952 to December 2005 (648 observations).
RSQ: 91-day Treasury bill rate, quarterly, 1952Q1 to 2005Q4 (216 observations).
R20Q: Yield on 20-year UK gilts, quarterly, 1952Q1 to 2005Q4 (216 observations).
RSQREAL: Real 91-day Treasury bill rate, quarterly, 1952Q1 to 2005Q (216 observations).
FTAPRICE: FTA All Share price index, monthly, January 1965 to December 2005 (492 observations).
FTADIV: FTA All Share dividend index, monthly, January 1965 to December 2005 (492 observations).
FTARET: FTA All Share nominal returns, monthly, January 1965 to December 2005 (492 observations).
RPI: U.K. Retail Price Index, monthly, January 1965 to December 2005 (492 observations).
USTB: U.S. 3-month Treasury bill rate, monthly, April 1953 to February 2005 (623 observations).
GIASE: Absolute returns on the General Index of the Athens Stock Exchange, daily, 1 June 1998 to 10 September 1998 (12,117 observations).
NORD: Nord Pool Exchange electricity prices, daily, 22 March 2002 to 3 December 2004 (988 observations)
VIX: VIX prices, daily, January 1990 to September 2005 (4130 observations)
EXCHD: Dollar/sterling exchange rate, daily, 1974 to 1994 (5192 observations).
EXCHQ: Dollar/sterling exchange rate, quarterly, 1972Q1 to 1996Q4 (100 observations).
S&P500: S&P 500 index, annual, 1871 to 2006 (136 observations).
S&P500R: S&P 500 real returns, annual 1872 to 2006 (135 observations).
S&P500D: S&P 500 index, daily, 1928 to 1991 (17,054 observations).
FT30: FT 30 index, daily, 1935 to 1994 (15,003 observations).
FTSE100: FTSE 100 index, weekly, 1984 to 1993 (521 observations).
CTLD: Courtaulds share price, weekly, 1984 to 1993 (521 observations).
LGEN: Legal and General share price, weekly, 1984 to 1993 (521 observations).
PRU: Prudential share price, weekly, 1984 to 1993 (521 observations).
- Type
- Chapter
- Information
- Publisher: Cambridge University PressPrint publication year: 2008