金融时间序列分析

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 3M

2、 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-tb6ms.

3、datData sets for Exercises:1. Log returns of Alcoa stock: d-aa9099.datLog 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 returns of

4、 five U.S. companies:Alcoa: m-aa6299.datAmerican Express: m-axp7399.datDisney: m-dis6299.datGeneral 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 American Express st

5、ock 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: q-gnp.dat(2

6、) Monthly value-weighted index returns: m-vw.dat(3) Monthly equal-weighted index returns: m-ew.dat(4) Monthly log returns of 3M stock: m-3m4699.dat(5) Quarterly earnings per share of Johnson & Johnson:jnj.dat(6) Weekly U.S. Treasury 1-y and 3-y constant maturity rates: w-gs1yr.dat and w-gs3yr.da

7、tData sets for Exercises:3. Simple returns on monthly U.S. bonds: m-bnd.dat4. Daily log returns of Alcoa stock: d-aa9099.dat5. Daily log returns of Hewlett-Packard, value-weighted, equal-weighted and SP500 index: d-hwp3dx8099.dat6. Monthly log returns of equal-weighted index: m-ew6299.dat7. See Prob

8、lem 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 prices of futures and spot of SP500: sp5may.dat10. U.S. quarterly unemployment rates: q-unemrate.dat11. Quarterly GDP impli

9、cit price deflator: gdpipd.datChapter 3: Conditional Heteroscedastic ModelsData sets used in the text:1) ) Monthly simple returns of Intel stock : m-intc.datRATS program for an ARCH(3) model: m-intc.rats2) ) 10-m log returns of FX (Mark-US): exch-perc.dat3) ) Excess returns of S&P500: sp500.datR

10、ATS 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: garch11-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

11、4) ) Monthly log returns of IBM stock: m-ibmln.datRATS program for EGARCH(1,0): ibm-egarch10.rats5) ) Daily log returns of SP500 index: see d-hwp3dx8099.datin Chapter 2.6) ) Monthly log returns of IBM stock & SP500: m-ibmspln.datData set for Example 3.5: m-ibmsplnsu.datRATS program without summe

12、r effect: summer.ratsRATS program with summer effect: summer1.ratsRATS program for Example 3.6: charmax.ratsData sets for exercises:7) Monthly log returns of Intel stock: m-intc.dat8) Monthly simple returns of Merck stock: m-mrk.dat (The file contains the simple returns in Column 1.The sample period

13、 is from 1946/6 to 1999/12.)9) Monthly simple returns of 3M stock: m-mmm.dat10) Monthly log returns of GM stock & Sp500: m-gmsp5099.dat11) See problem 8.12) Daily log returns of IBM stock: d-ibmln.datChapter 4: Nonlinear Models and Their ApplicationsData sets used in the text:(1) Monthly simple

14、returns of equal-weighted index:m-ew.dat Daily log returns of IBM stock: d-ibmln99.datRATS program for TAR-GARCH model: ibm-ar-tar.rats(3) Monthly simple returns of 3M stock: m-mmm.datRATS program for smooth TAR: star.rats(4) Quarterly growth rates of U.S. gnp: q-gnp.dat(5) Monthly log returns of IB

15、M stock: m-ibmln99.dat(6) Quarterly unemployment rates: q-unemrate.datTo 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 l

16、og returns of GE stock: m-ge2699.dat5. Weekly U.S. interest rates:(a) Treasury 1-year constant maturity rates:wgs1yr.dat(b) Treasury 3-year constant maturity rates:wgs3yr.datChapter 5: High-Frequency Data Analysis and Market MicrostructureData stes used in the text:(1) IBM transactions data (11/1/90

17、-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 (11/01/901/31/91). Positive durations only: ibmdurad.dat(4) Adjust

18、ed 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 November 21, 1990(a) original data: day15-ori.dat(b) data

19、 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: tar-wacd.rats .Data sets for exercises:3. Adjusted dur

20、ations 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) Daily simple returns of IBM stock in 1998: ibmy98.dat(2)

21、 Daily log returns of Cisco stock in 1999: d-cscoy99ln.datSource code of a Fortran program for European call and put options based on the 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 s

22、ets 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 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 l

23、og 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: 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 re

24、turns (in percentages) of Cisco stock:d-csco9199.dat3. See problem 2.4. Daily log returns of HP and 3 indexes: d-hwp3dx8099.datChapter 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

25、analyze the series: sca-ex-ch8.txt Source code of a Fortran program for multivariate Q-stat: qstat.f(2) Monthly simple returns of bond 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

26、.dat Monthly log returns of IBM, HWP, INTC, MER & MWD:m-5cln.datData sets for exercises:1. Monthly log returns of MRK et al.: m-mrk2vw.dat2. Monthly U.S. interest rates (1 & 10 yrs): m-gs1n10.dat3. See problem 2.4. See problem 2.Chapter 9: Multivariate Volatility Models and Their Application

27、sData sets used in the text:(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 Monthly log returns of IBM and SP 500: m-ibmspln.datConstant-correlation GARCH program: ibmsp-ex92.ratsTime-varying correlation GARCH: ibmsp