Book contents
- Frontmatter
- Contents
- Preface to second edition
- 1 Introduction
- 2 Univariate linear stochastic models: basic concepts
- 3 Univariate linear stochastic models: further topics
- 4 Univariate non-linear stochastic models
- 5 Modelling return distributions
- 6 Regression techniques for non-integrated financial time series
- 7 Regression techniques for integrated financial time series
- 8 Further topics in the analysis of integrated financial time series
- Data appendix
- References
- Index
Data appendix
Published online by Cambridge University Press: 05 September 2012
- Frontmatter
- Contents
- Preface to second edition
- 1 Introduction
- 2 Univariate linear stochastic models: basic concepts
- 3 Univariate linear stochastic models: further topics
- 4 Univariate non-linear stochastic models
- 5 Modelling return distributions
- 6 Regression techniques for non-integrated financial time series
- 7 Regression techniques for integrated financial time series
- 8 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 1995 (526 observations).
R20: Yield on 20 Year UK Gilts, monthly, March 1952 to December 1995 (526 observations).
RSQ: 91 day Treasury Bill rate, quarterly, 1952Q1 to 1995Q4 (176 observations).
R20Q: Yield on 20 Year UK Gilts, quarterly, 1952Q1 to 1995Q4 (176 observations).
RSQREAL: Real 91 day Treasury Bill rate, quarterly, 1952Q1 to 1995Q3 (175 observations).
FTAPRICE: FTA All Share price index, monthly, January 1965 to December 1995 (372 observations).
FTADIV: FTA All Share dividend index, monthly, January 1965 to December 1995 (372 observations).
FTARET: FTA All Share nominal returns, monthly, January 1965 to December 1995 (372 observations).
RPI: UK Retail Price Index, monthly, January 1965 to December 1995 (372 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: <I>S&P 500 index, annual, 1871 to 1997 (127 observations).
S&P500R: <I>S&P 500 real returns, annual 1872 to 1995 (124 observations).
S&P500D: <I>S&P 500 index, daily, 1928 to 1991 (17,054 observations).
FT30: <I>FT 30 index, daily, 1935 to 1994 (15,003 observations).
FTSE100: <I>FTSE 100 index, weekly, 1984 to 1993 (521 observations).
CTLD: Courtaulds share price, weekly, 1984 to 1993 (521 observations).
LGEN: Legal & General share price, weekly, 1984 to 1993 (521 observations).
PRU: Prudential share price, weekly, 1984 to 1993 (521 observations).
- Type
- Chapter
- Information
- The Econometric Modelling of Financial Time Series , pp. 340 - 341Publisher: Cambridge University PressPrint publication year: 1999