金融时间序列分析2077192236

Chapter1:FinancialTimeSeriesandTheirCharacteristicsDatausedinthetext:(1)DailylogreturnsofIBM(62/7/3to97/12):d-ibmln.dat(2)Dailysimplereturnsofvalue-weightedandequal-weightedindexes:d-vwew.dat(3)DailysimplereturnsofIntelstock:d-intc.dat(4)Dailysimplereturnsof3Mstock:d-mmm.dat(5)DailysimplereturnsofMicrosoftstock:d-msft.dat(6)DailysimplereturnsofCiti-groupstock:d-citi.dat(7)Monthlybondreturns(30yrs,20yrs,...,1yr):m-bnd.dat(8)MonthlyTreasuryrates(10yrs,5yrs,...,1yr):m-gs.dat(9)WeeklyTreasuryBillrates:w-tb3ms.dat&w-tb6ms.datDatasetsforExercises:1.LogreturnsofAlcoastock:d-aa9099.datLogreturnsofAmericanExpressstock:d-axp9099.datLogreturnsofDisneystock:d-dis9099.datLogreturnsofChicagoTribunestock:d-trb9099.datLogreturnsofTycoInternationalstock:d-tyc9099.dat2.MonthlylogstockreturnsoffiveU.S.companies:Alcoa:m-aa6299.datAmericanExpress:m-axp7399.datDisney:m-dis6299.datGeneralMotors:m-gm6299.datHersheyFoods:m-hsy6299.datMellonFinancialCo.:m-mel7399.dat3.SeeAlcoastockreturnsinProblem2.4.SeeAmericanExpressstockreturnsinProblem2.5.SeeAmericanExpressstockreturnsinProblem1.6.ExchangeratesofCanadianDollar,GermanMark,UnitedKingdomPound,JapaneseYen,andFrenchFrancversusU.S.Dollar:forex-c.datChapter2:LinearTimeSeriesAnalysisandItsApplicationsDatasetsusedinthechapter:(1)U.S.quarterlygrowthratesofGNP:q-gnp.dat(2)Monthlyvalue-weightedindexreturns:m-vw.dat(3)Monthlyequal-weightedindexreturns:m-ew.dat(4)Monthlylogreturnsof3Mstock:m-3m4699.dat(5)QuarterlyearningspershareofJohnson&Johnson:jnj.dat(6)WeeklyU.S.Treasury1-yand3-yconstantmaturityrates:w-gs1yr.datandw-gs3yr.datDatasetsforExercises:3.SimplereturnsonmonthlyU.S.bonds:m-bnd.dat4.DailylogreturnsofAlcoastock:d-aa9099.dat5.DailylogreturnsofHewlett-Packard,value-weighted,equal-weightedandSP500index:d-hwp3dx8099.dat6.Monthlylogreturnsofequal-weightedindex:m-ew6299.dat7.SeeProblem5.8.Dailylogreturnsofequal-weightedindex:seeProblem5.Calendarof1980on(yr,mm,dd,date):day80on.datDummyvariables(M,T,W,R,yr,mm,dd,days):wkdays8099.dat9.LogpricesoffuturesandspotofSP500:sp5may.dat10.U.S.quarterlyunemploymentrates:q-unemrate.dat11.QuarterlyGDPimplicitpricedeflator:gdpipd.datChapter3:ConditionalHeteroscedasticModelsDatasetsusedinthetext:(1)MonthlysimplereturnsofIntelstock:m-intc.datRATSprogramforanARCH(3)model:m-intc.rats(2)10-mlogreturnsofFX(Mark-US):exch-perc.dat(3)ExcessreturnsofS&P500:sp500.datRATSprogramsforvariousvolatilitymodels:(a)AR(3)-GARCH(1,1):m-sp-ar-garch11.rats(b)GARCH(1,1):m-sp-garch11.rats(c)GARCH(1,1)witht_5:t5-garch11.rats(d)GARCH(1,1)witht:garch11-t.rats(e)IGARCH(1,1):m-sp-igarch.rats(f)GARCH(1,1)-Mmodel:m-sp-garchm.rats(g)CHARMAmodel:sp-charma.rats(4)MonthlylogreturnsofIBMstock:m-ibmln.datRATSprogramforEGARCH(1,0):ibm-egarch10.rats(5)DailylogreturnsofSP500index:seed-hwp3dx8099.datinChapter2.(6)MonthlylogreturnsofIBMstock&SP500:m-ibmspln.datDatasetforExample3.5:m-ibmsplnsu.datRATSprogramwithoutsummereffect:summer.ratsRATSprogramwithsummereffect:summer1.ratsRATSprogramforExample3.6:charmax.ratsDatasetsforexercises:5.MonthlylogreturnsofIntelstock:m-intc.dat6.MonthlysimplereturnsofMerckstock:m-mrk.dat(ThefilecontainsthesimplereturnsinColumn1.Thesampleperiodisfrom1946/6to1999/12.)7.Monthlysimplereturnsof3Mstock:m-mmm.dat8.MonthlylogreturnsofGMstock&Sp500:m-gmsp5099.dat9.Seeproblem8.10.DailylogreturnsofIBMstock:d-ibmln.datChapter4:NonlinearModelsandTheirApplicationsDatasetsusedinthetext:(1)Monthlysimplereturnsofequal-weightedindex:m-ew.dat(2)DailylogreturnsofIBMstock:d-ibmln99.datRATSprogramforTAR-GARCHmodel:ibm-ar-tar.rats(3)Monthlysimplereturnsof3Mstock:m-mmm.datRATSprogramforsmoothTAR:star.rats(4)QuarterlygrowthratesofU.S.gnp:q-gnp.dat(5)MonthlylogreturnsofIBMstock:m-ibmln99.dat(6)Quarterlyunemploymentrates:q-unemrate.datTorunneuralnetworksonS-PlusorR,visittheModapplstatattheS-ArchiveonStatlibforfreesoftwareRandScommandsforExample4.5areinnnet-ibm.sorandthedatasetism-ibmln99.dat.Datasetsforexercises:1.MonthlylogreturnsofGEstock:m-ge2699.dat5.WeeklyU.S.interestrates:(a)Treasury1-yearconstantmaturityrates:wgs1yr.dat(b)Treasury3-yearconstantmaturityrates:wgs3yr.datChapter5:High-FrequencyDataAnalysisandMarketMicrostructureDatastesusedinthetext:(1)IBMtransactionsdata(11/1/90-1/31/91):Thecolumnsaredate/time,volume,bidquote,askquote,andtransactionprice:ibm.txt(large)(2)IBMtransactionsdataofDecember1999.(day.time,price):ibm9912-tp.dat(large)(3)Adjustedtimedurationsbetweentrades(11/01/90-1/31/91).Positivedurationsonly:ibmdurad.dat(4)Adjusteddurationsin(3)forthefirst5tradingdays:ibm1to5-dur.dat(5)DataforExample5.2(filesarerelativelylarge)(a)TheADSfile:ibm91-ads.dat(b)Theexplanatoryvariablesasdefined:ibm91-adsx.dat(6)TransactionsdataofIBMstockonNovember21,1990(a)originaldata:day15-ori.dat(b)dataforPCDmodels:day15.datdatadescriptionsinfileday15.txtRATSprogramsforestimatingdurationmodels:Thedatafileusedisibm1to5-dur.dat.(a)EACDmodel:eacd.rats(b)WACDmodel:wacd.rats(c)GACDmodel:gacd.rats(d)Threshold-WACDmodel:tar-wacd.rats.Datasetsforexercises:3.AdjusteddurationsofIBMstock(11/2/90):ibm-d2-dur.d