2022年2022年金融时间序列分析 .pdf

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1、Chapter 1: Financial Time Series and Their CharacteristicsData used in the text: (1) Daily log returns of IBM (62/7/3 to 97/12): d-ibmln.dat(2) Daily simple returns of value-weighted and equal-weighted indexes: d-vwew.dat(3) Daily simple returns of Intel stock: d-intc.dat(4) Daily simple returns of

2、3M stock: d-mmm.dat(5) Daily simple returns of Microsoft stock: d-msft.dat(6) Daily simple returns of Citi-group stock: d-citi.dat(7) Monthly bond returns (30 yrs, 20 yrs, ., 1 yr): m-bnd.dat(8) Monthly Treasury rates (10 yrs, 5 yrs, ., 1 yr): m-gs.dat(9) Weekly Treasury Bill rates: w-tb3ms.dat & w-

3、tb6ms.dat Data sets for Exercises: 1. Log returns of Alcoa stock: d-aa9099.dat Log returns of American Express stock: d-axp9099.datLog returns of Disney stock: d-dis9099.datLog returns of Chicago Tribune stock: d-trb9099.datLog returns of Tyco International stock: d-tyc9099.dat2. Monthly log stock r

4、eturns of five U.S. companies: Alcoa: m-aa6299.datAmerican Express: m-axp7399.dat Disney: m-dis6299.dat General Motors: m-gm6299.datHershey Foods: m-hsy6299.datMellon Financial Co.: m-mel7399.dat3. See Alcoa stock returns in Problem 2.4. See American Express stock returns in Problem 2.5. See America

5、n Express stock returns in Problem 1.6. Exchange rates of Canadian Dollar, German Mark, United Kingdom Pound, Japanese Yen, and French Franc versus U.S. Dollar: forex-c.datChapter 2: Linear Time Series Analysis and Its ApplicationsData sets used in the chapter: (1) U.S. quarterly growth rates of GNP

6、: q-gnp.dat(2) Monthly value-weighted index returns: m-vw.dat(3) Monthly equal-weighted index returns: m-ew.dat名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 1 页，共 6 页 - - - - - - - - - (4) Monthly log returns of 3M stock: m-3m4699.dat(5) Quarterly earnings per share

7、 of Johnson & Johnson: jnj.dat(6) Weekly U.S. Treasury 1-y and 3-y constant maturity rates: w-gs1yr.dat and w-gs3yr.datData sets for Exercises:3. Simple returns on monthly U.S. bonds: m-bnd.dat4. Daily log returns of Alcoa stock: d-aa9099.dat 5. Daily log returns of Hewlett-Packard, value-weighted,

8、equal-weighted and SP500 index: d-hwp3dx8099.dat6. Monthly log returns of equal-weighted index: m-ew6299.dat7. See Problem 5.8. Daily log returns of equal-weighted index: see Problem 5. Calendar of 1980 on (yr,mm,dd,date): day80on.datDummy variables (M,T,W,R,yr,mm,dd,days): wkdays8099.dat9. Log pric

9、es of futures and spot of SP500: sp5may.dat10. U.S. quarterly unemployment rates: q-unemrate.dat11. Quarterly GDP implicit price deflator: gdpipd.datChapter 3: Conditional Heteroscedastic ModelsData sets used in the text: (1) Monthly simple returns of Intel stock: m-intc.dat RATS program for an ARCH

10、(3) model: m-intc.rats(2) 10-m log returns of FX (Mark-US): exch-perc.dat(3) Excess returns of S&P500: sp500.datRATS programs for various volatility models: (a) AR(3)-GARCH(1,1): m-sp-ar-garch11.rats(b) GARCH(1,1): m-sp-garch11.rats(c) GARCH(1,1) with t_5: t5-garch11.rats(d) GARCH(1,1) with t: garch

11、11-t.rats(e) IGARCH(1,1): m-sp-igarch.rats(f) GARCH(1,1)-M model: m-sp-garchm.rats(g) CHARMA model: sp-charma.rats(4) Monthly log returns of IBM stock: m-ibmln.datRATS program for EGARCH(1,0): ibm-egarch10.rats (5) Daily log returns of SP500 index: see d-hwp3dx8099.dat 名师资料总结 - - -精品资料欢迎下载 - - - - -

12、 - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 2 页，共 6 页 - - - - - - - - - in Chapter 2. (6) Monthly log returns of IBM stock & SP500: m-ibmspln.dat Data set for Example 3.5: m-ibmsplnsu.datRATS program without summer effect: summer.ratsRATS program with summer effect: summer1.ratsRATS program fo

13、r Example 3.6: charmax.ratsData sets for exercises:5. Monthly log returns of Intel stock: m-intc.dat 6. Monthly simple returns of Merck stock: m-mrk.dat (The file contains the simple returns in Column 1. The sample period is from 1946/6 to 1999/12.)7. Monthly simple returns of 3M stock: m-mmm.dat 8.

14、 Monthly log returns of GM stock & Sp500: m-gmsp5099.dat 9. See problem 8.10. Daily log returns of IBM stock: d-ibmln.dat Chapter 4: Nonlinear Models and Their ApplicationsData sets used in the text: (1) Monthly simple returns of equal-weighted index: m-ew.dat(2) Daily log returns of IBM stock: d-ib

15、mln99.dat RATS program for TAR-GARCH model: ibm-ar-tar.rats (3) Monthly simple returns of 3M stock: m-mmm.dat RATS program for smooth TAR: star.rats (4) Quarterly growth rates of U.S. gnp: q-gnp.dat(5) Monthly log returns of IBM stock: m-ibmln99.dat(6) Quarterly unemployment rates: q-unemrate.dat To

16、 run neural networks on S-Plus or R, visit the Modapplstat at the S-Archive on Statlib for free softwareR and S commands for Example 4.5 are in nnet-ibm.sor and the data set is m-ibmln99.dat .Data sets for exercises: 1. Monthly log returns of GE stock: m-ge2699.dat 名师资料总结 - - -精品资料欢迎下载 - - - - - - -

17、 - - - - - - - - - - - 名师精心整理 - - - - - - - 第 3 页，共 6 页 - - - - - - - - - 5. Weekly U.S. interest rates: (a) Treasury 1-year constant maturity rates: wgs1yr.dat (b) Treasury 3-year constant maturity rates: wgs3yr.dat Chapter 5: High-Frequency Data Analysis and Market MicrostructureData stes used in

18、the text: (1) IBM transactions data (11/1/90-1/31/91): The columns are date/time, volume, bid quote, ask quote, and transaction price: ibm.txt (large) (2) IBM transactions data of December 1999. (day. time, price): ibm9912-tp.dat (large)(3) Adjusted time durations between trades (11/01/90- 1/31/91).

19、 Positive durations only: ibmdurad.dat(4) Adjusted durations in (3) for the first 5 trading days: ibm1to5-dur.dat(5) Data for Example 5.2 (files are relatively large ) (a) The ADS file: ibm91-ads.dat(b) The explanatory variables as defined: ibm91-adsx.dat(6) Transactions data of IBM stock on Novembe

20、r 21, 1990 (a) original data: day15-ori.dat(b) data for PCD models: day15.datdata descriptions in file day15.txtRATS programs for estimating duration models: The data file used is ibm1to5-dur.dat . (a) EACD model: eacd.rats(b) WACD model: wacd.rats(c) GACD model: gacd.rats(d) Threshold-WACD model: t

21、ar-wacd.rats .Data sets for exercises: 3. Adjusted durations of IBM stock (11/2/90): ibm-d2-dur.dat5. Transactions data of 3M (12/99): mmm9912-dtp.dat (large)6. Adjusted durations of 3M (12/99): mmm9912-adur.datChapter 6: Continuous-Time Models and Their ApplicationsData sets used in the text: (1) D

22、aily simple returns of IBM stock in 1998: ibmy98.dat(2) Daily log returns of Cisco stock in 1999: d-cscoy99ln.dat名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 4 页，共 6 页 - - - - - - - - - Source code of a Fortran program for European call and put options based on the

23、 simple jump diffusion model discussed in the text: kou.f (You need to compile the program.)Chapter 7: Extreme Values, Quantile Estimation, and Value at RiskData sets used in the text: (1) Daily log returns of IBM stock: d-ibmln98.dat (9190 obs) The returns are in percentages. (2) RATS programs used

24、 in Example 7.3: (Note: returns used in the example are not in percentages.) (a) AR(2)-GARCH(1,1): example7-3a.rats(b) AR(2)-GARCH(1,1)-t5: example7-3b.rats(3) Daily log returns of Intel stock (Example 7.4): d-intc7297.dat(4) Data used in Subsection 7.7.6 (a) Mean-corrected daily log returns of IBM:

25、 ibmln98wm.dat(b) The explanatory variables on page 294: ibml25x.datData sets for exercises:1. Daily log returns (in percentages) of GE stock: d-geln.dat2. Daily log returns (in percentages) of Cisco stock: d-csco9199.dat3. See problem 2.4. Daily log returns of HP and 3 indexes: d-hwp3dx8099.datChap

26、ter 8: Multivariate Time Series Analysis and Its ApplicationsData sets used in the text: (1) Monthly log returns of IBM and SP 500: m-ibmspln.datThe SCA commands used to analyze the series: sca-ex-ch8.txtSource code of a Fortran program for multivariate Q-stat: qstat.f(2) Monthly simple returns of b

27、ond indexes: m-bnd.dat(3) Monthly U.S. interest rates of Example 8.6: m-gs1n3.datSCA commands used: sca-ex8-6.txt(4) Log prices of SP500 index futures and shares: sp5may.dat(5) Monthly log returns of IBM, HWP, INTC, MER & MWD: m-5cln.datData sets for exercises: 1. Monthly log returns of MRK et al.:

28、m-mrk2vw.dat2. Monthly U.S. interest rates (1 & 10 yrs): m-gs1n10.dat3. See problem 2.名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 5 页，共 6 页 - - - - - - - - - 4. See problem 2.Chapter 9: Multivariate Volatility Models and Their ApplicationsData sets used in the tex

29、t: (1) Daily log returns of HK and Japan market index (Example 9.1): Data file (491 data pts): hkja.datBivariate GARCH programs: hkja-c.rats and hkja-c1.rats(2) Monthly log returns of IBM and SP 500: m-ibmspln.datConstant-correlation GARCH program: ibmsp-ex92.ratsTime-varying correlation GARCH: ibms

30、p-ex92q.rats Cholesky Decomposition: ibmsp-choles.rats(3) Daily log returns of S&P 500, Cisco and Intel stocks: Data (3 columns): d-cscointc.datTime-varying 3-dim GARCH model: cholesky-ex93.ratsData sets for exercises: 1. Problems 1 to 5: Monthly log returns of S&P 500, IBM and GE stocks: m-spibmge.

31、dat6. Daily log returns of Dell and Cisco stocks: d-dellcsco9099.datChapter 10: Markov Chain Monte Carlo Methods with ApplicationsData sets used in the text: (1) Change series of weekly US interest rates (3-y & 1-y): w-gs3n1c.dat(2) Change series of weekly US 3-yr interest rate: w-gs3c.dat(3) Monthl

32、y log returns of S&P 500 index: m-sp6299.dat(4) Monthly log returns of IBM stock & SP 500: m-ibmsp6299.dat(5) Monthly log returns of GE stock: m-geln.datData sets for exercises: 4. Monthly log returns of GM stock & SP500: m-gmsp5099.dat5. Daily log returns of Cisco stock: d-csco9199.dat6. See Problem 4.名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 6 页，共 6 页 - - - - - - - - -