<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN"> <!-- saved from url=(0063)http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/index.htm --> <HTML><HEAD> <META http-equiv=Content-Type content="text/html; charset=unicode"> <META content="MSHTML 6.00.6000.16441" name=GENERATOR></HEAD> <BODY> <P>&nbsp;<FONT face=Arial size=4>Web page for <FONT color=#cc0000>Analysis of Financial Time Series, Second Edition<BR></FONT><FONT size=4>(Ruey S. Tsay, Wiley-Interscience 2005, Probability and Statistics)</FONT></FONT><FONT face=Arial size=4><FONT size=4> <BR>ISBN 0-471-69074-0<BR></FONT></FONT><FONT face=Arial size=4></FONT></P> <P><FONT face=Arial size=4>This page contains data sets used and other information about the book. <BR>Most data files are different from those of the first edition. <BR>You may find the book on <A href="http://www.amazon.com/">Amazon</A>, <A href="http://www.barnesandnoble.com/">Barnes and Noble</A>, and <A href="http://www.wiley.com/">Wiley</A>.</FONT></P> <P><FONT face=Arial size=4><BR></FONT><FONT face=Arial><FONT size=4>Software packages used in the book:<BR></FONT><A href="http://www.scausa.com/"><FONT size=4>SCA </FONT></A><FONT size=4>(Scientific Computing Associates),<BR><A href="http://www.insightful.com/">S-Plus</A> with FinMetrics (Insightful)</FONT><BR><A href="http://www.estima.com/"><FONT size=4>RATS </FONT></A><FONT size=4>(Regression Analysis of Time Series), <BR>and <BR><A href="http://www.r-project.org/">R</A> with RMetrics (newer version is recommended.)<BR></FONT></FONT></P> <P><FONT face=Arial><FONT size=4><SPAN style="COLOR: rgb(255,0,0)">Instructions and some demonstrations</SPAN> for using R and S-Plus <BR>can be found in my teaching web: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/bs41202">R-demo</A><BR></FONT></FONT></P> <h2><FONT face=Arial><A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/errata.pdf"><FONT size=4>Errata </FONT></A><FONT size=4>of the book. <BR><BR> </FONT></FONT> NOTE: If you cannot load a data set, please change the hyperlink from &quot;faculty.chicagogsb.edu&quot; to &quot;faculty.chicagobooth.edu&quot; on the web address.</h2> <P><FONT face=Arial><FONT size=4><FONT color=#0000cc>Solutions</FONT> to exercises are available for instructors who use<BR>the book as a textbook. Please send&nbsp;request to <SPAN style="COLOR: rgb(255,0,0)">Jackie Palmieri</SPAN> of <BR>Wiley via e-mail at <SPAN style="COLOR: rgb(51,51,255)">jpalmier@wiley.com</SPAN>&nbsp; or via mail at <BR>Ms Jackie Palmieri<BR>MS 8-01<BR>John Wiley &amp; Sons, Inc.<BR>111 River Street<BR>Hoboken, NJ 07030-5774<BR>U.S.A.<BR></FONT></FONT></P> <P><FONT face=Arial size=4><BR></FONT><FONT color=#cc0000><FONT size=4><FONT face=Arial>Chapter 1: Financial Time Series and Their Characteristics</FONT><FONT face=Arial></FONT><BR></FONT></FONT></P> <P><FONT face=Arial size=4>Data used in the text:&nbsp;</FONT><FONT face=Arial><BR><FONT size=4>(1) Daily simple returns of IBM, VW, EW, SP (7/3/62-12/31/03):<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Format: date, IBM, VW, EW &amp; SP): <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-ibmvwewsp6203.txt">d-ibmvwewsp6203.txt</A>&nbsp;&nbsp; </FONT><BR></FONT><FONT face=Arial><FONT size=4>(2) Daily&nbsp;simple returns of Intel stock (12/15/72-12/31/03): <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-intc7303.txt">d-intc7303.txt</A>&nbsp; </FONT></FONT><FONT face=Arial><BR><FONT size=4>(3) Daily simple returns of 3M stock: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-3m6203.txt">d-3m6203.txt</A>&nbsp; </FONT><BR><FONT size=4>(4) Daily simple returns of Microsoft stock:&nbsp; <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-msft8603.txt">d-msft8603.txt</A>&nbsp; </FONT><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-msft.dat"><FONT size=4></FONT></A><BR><FONT size=4>(5) Daily simple returns of Citi-group stock:&nbsp; <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-c8603.txt">d-c8603.txt</A>&nbsp; </FONT><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-citi.dat"><FONT size=4></FONT></A><BR><FONT size=4>(6) Monthly simple returns of IBM, VW, EW, SP (1/26-12/03):<BR>&nbsp;&nbsp;&nbsp;&nbsp; (Format: date, IBM, VW, EW, &amp; SP): <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-ibmvwewsp2603.txt">m-ibmvwewsp2603.txt</A>&nbsp; <BR></FONT><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-bnd.dat"><FONT size=4></FONT></A><FONT size=4>(7) Monthly simple returns of Intel stock: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-intc7303.txt">m-intc7303.txt</A> <BR>(8) Monthly simple returns of 3M stock: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-3m4603.txt">m-3m4603.txt</A>&nbsp; <BR>(9) Monthly simple returns of Microsoft stock: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-msft8603.txt">m-msft8603.txt</A><BR>(10) Monthly simple returns of Citi-group stock: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-c8603.txt">m-c8603.txt</A> &nbsp; <BR>(11) Monthly 10-yr&nbsp; and 1-yr Treasury constant maturity rates (4/53-3/04):<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Format: year, month, date, rate): <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-gs10.txt">m-gs10.txt</A>&nbsp; &amp; <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-gs1.txt">m-gs1.txt</A> <BR>(12) Daily exchange rate between U.S. dollar and Japanese yen:<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Format: ddmmyy, fx): <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-fxjp00.txt">d-fxjp00.txt</A>&nbsp;&nbsp; <BR>(13) Monthly bond returns (1-12m, 24-36m, 48-60m, 61-120m):<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Format: date, bond returns): <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-fama-bond5203.txt">m-fama-bond5203.txt</A>&nbsp; <BR>(14) Monthly 3-yr and 5-yr Treasury constant maturity rates:<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-gs3.txt">m-gs3.txt</A>&nbsp;&nbsp; and <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-gs5.txt">m-gs5.txt</A>&nbsp; <BR>(15) Weekly Treasury Bill rates: </FONT><A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/w-tb3ms.dat"><FONT size=4>w-tb3ms.dat </FONT></A>&nbsp;<FONT size=4>&amp; </FONT><A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/w-tb6ms.dat"><FONT size=4>w-tb6ms.dat </FONT></A></FONT></P> <P><FONT face=Arial color=#006600 size=4>Data sets&nbsp;for Exercises: <BR></FONT><FONT face=Arial><FONT size=4>1. Daily simple stock returns of American Express, Caterpillar, <BR>&nbsp;&nbsp;&nbsp; and Starbucks: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-3stock.txt">d-3stock.txt</A>&nbsp; <BR></FONT><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-tyc9099.dat"><FONT size=4></FONT></A></FONT></P> <P><FONT face=Arial><FONT size=4>2. Monthly simple returns of IBM stock, VW, EW, and S&amp;P:<BR>&nbsp;&nbsp;&nbsp;&nbsp; <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-ibm3dx7503.txt">m-ibm3dx7503.txt</A>&nbsp;&nbsp; <BR></FONT><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-mel7399.dat"><FONT size=4></FONT></A></FONT></P> <P><FONT face=Arial size=4>3. See S&amp;P returns in Problem 2.</FONT></P> <P><FONT face=Arial size=4>4. See American Express stock returns in Problem 1.</FONT></P> <P><FONT face=Arial><FONT size=4>5. Exchange rates of Canadian Dollar: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-fxca00.txt">d-fxca00.txt</A> <BR>&nbsp;&nbsp;&nbsp; United Kingdom Pound: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-fxuk00.txt">d-fxuk00.txt</A>,&nbsp; <BR>&nbsp;&nbsp;&nbsp; Japanese Yen: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-fxjp00.txt">d-fxjp00.txt</A>,&nbsp; and <BR>&nbsp;&nbsp;&nbsp; Euro: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/d-fxeu00.txt">d-fxeu00.txt</A>&nbsp;&nbsp;&nbsp; versus U.S. Dollar.<BR></FONT><BR></FONT></P> <P><FONT size=4><FONT face=Arial color=#cc0000>Chapter 2: Linear Time Series Analysis and Its Applications</FONT></FONT></P> <P><FONT face=Arial><FONT size=4>Data sets used in the chapter:<BR>(1) Monthly IBM stock returns: <A href="http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/m-ibm2697.txt">m-ibm2697.txt</A>&nbsp; <BR>(2) Monthly returns of VW index: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-vw2697.txt">m-vw2697.txt</A>&nbsp; <BR>(3) Growth rate of U.S. quarterly real gnp:&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/q-gnp4791.txt">q-gnp4791.txt</A>&nbsp; <BR>(4) Monthly returns of EW index: (Date, IBM, VW, EW &amp; SP)<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4th column of the file <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibm3dx2603.txt">m-ibm3dx2603.txt</A>&nbsp;&nbsp; <BR>(5) Monthly simple returns of 3M stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-3m4697.txt">m-3m4697.txt</A>&nbsp; <BR>(6)&nbsp; U.S. quarterly GDP: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/q-gdp4703.txt">q-gdp4703.txt</A>&nbsp;&nbsp; <BR>(7)&nbsp; Daily values of S&amp;P 500 index:&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-sp9003lev.txt">d-sp9003lev.txt</A>&nbsp; <BR>(8) Quarterly earnings of JNJ (1960-1980):&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/q-jnj.txt">q-jnj.txt</A>&nbsp; <BR>(9)&nbsp; Monthly simple returns of Deciles 1, 5, 10: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-decile1510.txt">m-decile1510.txt</A>&nbsp;&nbsp; <BR>(10) Weekly 1-yr &amp; 3-yr interest rates: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/w-gs1n36299.txt">w-gs1n36299.txt</A>&nbsp; <BR><BR></FONT><FONT size=4><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/wgs3yr.dat"></A></FONT></FONT></P> <P><FONT face=Arial><FONT size=4><FONT color=#006600>Data sets for Exercises:</FONT> <BR>3.&nbsp; Monthly U.S. unemployment rate &amp; help-wanted ads: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-unemhelp.txt">m-unemhelp.txt</A> &nbsp; </FONT></FONT></P> <P><FONT face=Arial><FONT size=4>4.&nbsp; Monthly simple returns of Deciles 1, 5, 10: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-decile1510.txt">m-decile1510.txt</A> &nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-aa9099.dat"> </A></FONT></FONT></P> <P><FONT face=Arial><FONT size=4>5. Daily returns of IBM (Date, IBM, VW,&nbsp; EW &amp; SP): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-ibmvwewsp6202.txt">d-ibmvwewsp6202.txt</A> &nbsp;</FONT></FONT></P> <P><FONT face=Arial><FONT size=4>6.&nbsp; Demand of electricity in logarithm: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/power6.txt">power6.txt</A>&nbsp; <BR></FONT></FONT></P> <P><FONT face=Arial><FONT size=4>7.&nbsp; Daily returns of EW: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-ew8099.txt">d-ew8099.txt&nbsp;</A>&nbsp; <BR></FONT></FONT></P> <P><FONT face=Arial><FONT size=4>8 &amp; 9.&nbsp; Daily returns of S&amp;P 500 index: (see text for information)<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-dell3dx0003.txt">d-dell3dx0003.txt&nbsp;</A>&nbsp; <BR></FONT></FONT></P> <P><FONT face=Arial><FONT size=4>10-12.&nbsp; Monthly yields of Moddy's AAA &amp; BAA seasoned bonds:<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-aaa.txt">m-aaa.txt</A>&nbsp; and <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-baa.txt">m-baa.txt</A>&nbsp;&nbsp; <BR></FONT></FONT></P> <P><FONT face=Arial><FONT size=4>13. Monthly returns of EW: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ew6299.txt">m-ew6299.txt</A>&nbsp;&nbsp; <BR><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/wkdays8099.dat"></A></FONT></FONT></P> <P><FONT face=Arial><FONT size=4>14. Log prices of futures and spot of SP500: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/sp5may.dat">sp5may.dat</A></FONT></FONT></P> <P><FONT face=Arial><FONT size=4>15. Quarterly GDP implicit price deflator: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/q-gdpdef.txt">q-gdpdef.txt</A>&nbsp;&nbsp; <BR><BR></FONT></FONT></P> <P><FONT face=Arial><FONT color=#990000 size=4>Chapter 3: Conditional Heteroscedastic Models</FONT></FONT></P> <P><FONT face=Arial size=4>Data sets used in the text:<BR>(1) Monthly simple returns of Intel stock:&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-intc7303.txt">m-intc7303.txt</A>&nbsp; <BR>(2) 10-minute FX log returns (Mark-Dollar): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/exch-perc.txt">exch-perc.txt</A>&nbsp; <BR>(3) Monthly excess returns of the S&amp;P 500 index: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/sp500.dat">sp500.dat</A>&nbsp; <BR>(4)&nbsp; Monthly returns of IBM stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibm2697.txt">m-ibm2697.txt</A>&nbsp;&nbsp; <BR>(5)&nbsp; Daily returns of IBM stock, VW, EW, and SP5: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-ibmvwewsp6203.txt">d-ibmvwewsp6203.txt</A>&nbsp; <BR>(6) Monthly log returns of IBM stock and S&amp;P 500 index: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibmspln.dat">m-ibmspln.dat</A>&nbsp; <BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Data for Example 3.4: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibmsplnsu.dat">m-ibmsplnsu.dat</A>&nbsp;&nbsp; <BR>(7) Daily returns of S&amp;P 500 index: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-sp8099.txt">d-sp8099.txt</A>&nbsp;&nbsp; <BR><BR><FONT color=#006600>Data sets&nbsp;for Exercises:</FONT><BR>5. Monthly simple returns of Intel stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-intc7303.txt">m-intc7303.txt</A> &nbsp;&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-intc.dat"> </A></FONT></P> <P><FONT face=Arial size=4>6. Monthly simple returns of Merck stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-mrk4603.txt">m-mrk4603.txt</A>&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-mrk.dat"></A><BR></FONT></P> <P><FONT face=Arial size=4>7. Monthly simple returns of 3M stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-3m4603.txt">m-3m4603.txt</A> &nbsp;&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-mmm.dat"> </A></FONT></P> <P><FONT face=Arial size=4>8-10. Monthly returns of GM stock &amp; SP500: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-gmsp5003.txt">m-gmsp5003.txt</A>&nbsp;&nbsp; <BR></FONT></P> <P><FONT face=Arial size=4>11-15. Daily returns of GM stock and SP500: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-gmsp9303.txt">d-gmsp9303.txt</A>&nbsp;&nbsp; <BR><BR><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-gmsp5099.dat"></A></FONT></P> <P><FONT face=Arial color=#990000 size=4>Chapter 4: Nonlinear Models and Their Applications</FONT></P> <P><FONT face=Arial size=4>Data sets used in the text:<BR> (1) Monthly U.S. civilian unemployment rate(48-04):&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-unrate.txt">m-unrate.txt</A>&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ew.dat" href?m-ew.dat=""></A><BR> (2) Daily returns of IBM stock in the file: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-ibmvwewsp6203.txt">d-ibmvwewsp6203.txt&nbsp;</A>&nbsp; <BR><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibm-ar-tar.rats"></A>(3) Monthly simple returns of 3M stock:&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-3m4697.txt">m-3m4697.txt</A>&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-mmm.dat"></A><BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; RATS program for smooth TAR: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/star.rats">star.rats </A><BR>(4) Quarterly growth rates of U.S. gnp: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/q-gnp4791.txt">q-gnp4791.txt</A> <BR>(5) Weekly 3-month Treasury Bill rates: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/w-3mtbs7097.txt">w-3mtbs7097.txt</A> &nbsp; &nbsp; <BR>(5) Monthly log returns, in percentages, of IBM stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibmln2699.txt">m-ibmln2699.txt</A>&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibmln99.dat"></A><BR>(6) Quarterly unemployment rates:&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/q-unemrate.txt">q-unemrate.txt</A> &nbsp;&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/qunemrate.dat"> </A></FONT></P> <P><FONT face=Arial size=4>R and S commands for Example 4.7 are in&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/nnet-ibm.sor">nnet-ibm.sor</A> <BR></FONT></P> <P><FONT face=Arial color=#006600 size=4>Data sets&nbsp;for Exercises: </FONT><FONT face=Arial size=4><BR>1. Daily returns of JNJ stock:<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-jnj9003.txt"> d-jnj9003.txt</A> &nbsp; <BR></FONT></P> <P><FONT face=Arial size=4>2,3,5: Monthly returns of GE stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ge2603.txt">m-ge2603.txt</A>&nbsp;&nbsp; <BR><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-geln-p.dat"></A></FONT></P> <P><FONT face=Arial size=4>6. Weekly U.S. interest rates:<BR>&nbsp;&nbsp;&nbsp; (a) Treasury 1-year constant maturity rates: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/w-gs1yr.txt">w-gs1yr.txt</A>&nbsp;&nbsp; <BR>&nbsp;&nbsp;&nbsp; (b) Treasury 3-year constant maturity rates: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/w-gs3yr.txt">w-gs3yr.txt</A>&nbsp; <BR><BR></FONT></P> <P><FONT face=Arial color=#990000 size=4>Chapter 5: High-Frequency Data Analysis and Market<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Microstructure</FONT></P> <P><FONT face=Arial size=4>Data sets used in the text: <BR> (1) IBM transactions data (11/1/90-1/31/91): The columns<BR>&nbsp;&nbsp;&nbsp;&nbsp; are date/time, volume, bid quote, ask quote, and <BR>&nbsp;&nbsp;&nbsp;&nbsp; transaction price: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibm.txt">ibm.txt </A>(<FONT color=#ff00cc>large</FONT>)<BR>(2) IBM transactions data of December 1999. <BR>&nbsp;&nbsp;&nbsp; (day. time, price): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibm9912-tp.dat">ibm9912-tp.dat </A>(<FONT color=#cccc00><FONT color=#ff00cc>large</FONT>)</FONT><BR>(3) Adjusted time durations between trades (11/01/90-<BR> &nbsp;&nbsp;&nbsp; 1/31/91): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibmdurad.dat">ibmdurad.dat</A><BR> (4) Adjusted durations in (3) for the first 5 trading days:<BR> &nbsp;&nbsp;&nbsp;&nbsp;Positive durations only: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibm1to5-dur.dat">ibm1to5-dur.dat</A> <BR> (5) Data for Example 5.2 (files are relatively <FONT color=#ff00cc>large</FONT>)<BR>&nbsp;&nbsp;&nbsp;&nbsp; (a) The ADS file:&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibm91-ads.dat">ibm91-ads.dat</A><BR>&nbsp;&nbsp;&nbsp;&nbsp; (b) The explanatory variables as defined: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibm91-adsx.dat">ibm91-adsx.dat</A> <BR>(6) Transactions data of IBM stock on November 21, 1990<BR>&nbsp;&nbsp;&nbsp; (a) original data:&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/day15-ori.dat">day15-ori.dat</A><BR>&nbsp;&nbsp;&nbsp; (b) data for PCD models:&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/day15.dat">day15.dat</A><BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; data descriptions in file <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/day15.txt">day15.txt</A> </FONT></P> <P><FONT face=Arial size=4>RATS programs for estimating duration models:<BR>The data file used is <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibm1to5-dur.txt">ibm1to5-dur.txt</A>.<BR>(a) EACD model: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/eacd.rats">eacd.rats</A><BR>(b) WACD model: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/wacd.rats">wacd.rats</A><BR>(c) GACD model: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/gacd.rats">gacd.rats</A><BR>(d) Threshold-WACD model: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/tar-wacd.rats">tar-wacd.rats</A>.</FONT></P> <P><FONT face=Arial size=4><FONT color=#006600>Data sets for Exercises:<BR></FONT>3. Adjusted durations of IBM stock (11/2/90): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibm-d2-dur.txt">ibm-d2-dur.txt</A> &nbsp; <BR></FONT></P> <P><FONT face=Arial size=4>4 &amp; 5.<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibm-d2-dur.dat"></A> Transactions data of 3M (12/99): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/mmm9912-dtp.txt">mmm9912-dtp.txt </A>(<FONT color=#ff00cc>large</FONT>)</FONT></P> <P><FONT face=Arial size=4>6. Adjusted durations of 3M (12/99): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/mmm9912-adur.txt">mmm9912-adur.txt</A><BR></FONT></P> <P><FONT face=Arial size=4>7. Trade data of GE stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/taq-t-ge-dec5.txt">taq-t-ge-dec5.txt</A>&nbsp;&nbsp; <BR>&nbsp;&nbsp;&nbsp;&nbsp; Number of trades in 5-minute intervals: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/taq-ge-dec5-nt.txt">taq-ge-dec5-nt.txt&nbsp;</A>&nbsp; <BR></FONT></P> <P><FONT face=Arial size=4>8. 5-minute intraday returns of GE stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/taq-ge-dec5-5m.txt">taq-ge-dec5-5m.txt</A>&nbsp;&nbsp; <BR></FONT></P> <P><FONT face=Arial size=4>9. 10-minute intraday returns of GE stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/taq-ge-dec5-10m.txt">taq-ge-dec5-10m.txt</A>&nbsp;&nbsp; <BR></FONT></P> <P style="COLOR: rgb(0,0,0)"><FONT face=Arial size=4>10. See problem 5.7.</FONT></P> <P><FONT face=Arial color=#ff0000 size=4><BR>Chapter 6: Continuous-Time Models and Their Applications</FONT></P> <P><FONT face=Arial size=4>Data sets used in the text:<BR>(1) Daily simple returns of IBM stock in 1998: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-ibmy98.txt">d-ibmy98.txt</A>&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibmy98.dat"></A><BR>(2) Daily log returns of Cisco stock in 1999:&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-cscoy99.txt">d-cscoy99.txt</A>&nbsp;&nbsp; <SPAN style="TEXT-DECORATION: underline"><BR></SPAN></FONT></P> <P><FONT face=Arial size=4>Source code&nbsp;of a <FONT color=#ff00cc>Fortran </FONT>program for European call and put options <BR>based on the simple jump diffusion model discussed in the text:<BR><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/kou.f">kou.f </A>(You need to compile the program.)<BR><BR></FONT></P> <P><FONT face=Arial color=#ff0000 size=4>Chapter 7: Extreme Values, Quantile Estimation, and Value at Risk</FONT></P> <P><FONT face=Arial size=4>Data sets used in the text:<BR>(1) Daily returns of IBM stock:&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-ibm6298.txt">d-ibm6298.txt</A>&nbsp; (9190 obs)<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The returns are in percentages.<BR>(2) RATS programs used in Example 7.3:&nbsp;<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Note: returns used in the example are not in percentages.)<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (a) AR(2)-GARCH(1,1):&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/example7-3a.rats">example7-3a.rats</A><BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (b) AR(2)-GARCH(1,1)-t5: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/example7-3b.rats">example7-3b.rats</A> <BR>(3) Daily log returns of Intel stock (Example 7.4): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-intc7297.txt">d-intc7297.txt</A>&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-intc7297.dat"></A><BR>(4) Data used in Subsection 7.7.8<BR>&nbsp;&nbsp;&nbsp;&nbsp; (a) Mean-corrected daily log returns of IBM: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-ibmln98wm.txt">d-ibmln98wm.txt</A>&nbsp;&nbsp; <BR>&nbsp;&nbsp;&nbsp;&nbsp; (b) The explanatory variables on page 294: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-ibml25x.txt">d-ibml25x.txt</A> &nbsp; &nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibml25x.dat"></A> </FONT></P> <P><FONT face=Arial size=4><FONT color=#006600>Data sets for Exercises:</FONT><BR>1. Daily returns of GE stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-ge6299.txt">d-ge6299.txt</A>&nbsp; <SPAN style="TEXT-DECORATION: underline"><BR></SPAN></FONT></P> <P><FONT face=Arial size=4>2 &amp; 3.&nbsp; Daily returns of Cisco stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-csco9199.txt">d-csco9199.txt</A> &nbsp;&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-csco9199.dat"></A></FONT></P> <P><FONT face=Arial size=4>4. Daily returns of HP and 3 indices: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-hwp3dx8099.txt">d-hwp3dx8099.txt</A>&nbsp;&nbsp; <BR></FONT></P> <P><FONT face=Arial size=4>5, 6, &amp; 7. Daily returns of Alcoa stock and S&amp;P 500 index: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-aaspx8003.txt">d-aaspx8003.txt</A>&nbsp;&nbsp; <BR><BR></FONT></P> <P><FONT face=Arial color=#ff0000 size=4>Chapter 8: Multivariate Time Series Analysis and Its Applications</FONT></P> <P><FONT face=Arial size=4>Data sets used in the text:<BR>(1) Monthly returns of IBM and S&amp;P 500: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibmsp2699.txt">m-ibmsp2699.txt</A>&nbsp; <BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; log returns: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibmspln.txt">m-ibmspln.txt</A>&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibmspln.dat"></A><BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The SCA commands used to analyze the series:&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/sca-ex-ch8.txt">sca-ex-ch8.txt</A><BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Source code of a <FONT color=#ff00cc>Fortran</FONT> program for multivariate Q-stat: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/qstat.f">qstat.f</A>&nbsp;<BR>(2) Monthly simple returns of bond indexes: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-bnd.txt">m-bnd.txt</A>&nbsp;&nbsp; <BR>(3) Monthly U.S. interest rates of Example 8.6: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-gs1n3-5301.txt">m-gs1n3-5301.txt&nbsp;</A>&nbsp; <BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SCA commands used: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/sca-ex8-6.txt">sca-ex8-6.txt</A> <BR>(4) Weekly U.S. interest rates (3-m &amp; 6-m): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/w-tb3n6ms.txt">w-tb3n6ms.txt</A>&nbsp;&nbsp; <BR>(5) Log prices of SP500 index futures and shares: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/sp5may.dat">sp5may.dat</A><BR><BR><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-5cln.dat"></A></FONT></P> <P><FONT face=Arial size=4><FONT color=#006600>Data sets for Exercises:<BR></FONT>1. Monthly returns of MRK et al.: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-mrk2vw.txt">m-mrk2vw.txt</A>&nbsp;&nbsp; <SPAN style="TEXT-DECORATION: underline"><BR></SPAN></FONT></P> <P><FONT face=Arial size=4>2, 3, &amp; 4. Monthly U.S. interest rates (1 &amp; 10 yrs): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-gs1n10.txt">m-gs1n10.txt</A>&nbsp;&nbsp; <BR></FONT></P> <P><FONT face=Arial size=4>7. Monthly U.S. interest rates (1-yr &amp; 3-yr): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-gs1n3-5304.txt">m-gs1n3-5304.txt&nbsp;</A>&nbsp; <BR><BR></FONT></P> <P><FONT face=Arial size=4><SPAN style="COLOR: rgb(255,0,0)">Chapter 9: Principal Component Analysis and Factor Models</SPAN><BR></FONT></P> <P><FONT face=Arial size=4>Data sets used in the text:<BR>(1) Monthly stock returns of Table 9.1:&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-fac9003.txt">m-fac9003.txt</A>&nbsp;&nbsp; <BR>(2) Monthly macroeconomic variables: (CPI &amp; CE16):<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-cpice16-dp7503.txt">m-cpice16-dp7503.txt</A>&nbsp;&nbsp; <BR>(3) Monthly excess returns of Table 9.2: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-barra-9003.txt">m-barra-9003.txt</A>&nbsp; <BR>(4) Monthly log returns, in percentages, of IBM, HWP, INTC, <BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MER &amp; MWD stocks:&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-5cln.txt">m-5cln.txt</A>&nbsp;&nbsp; <BR>(5) Monthly returns of U.S. bond indices: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-bnd.txt">m-bnd.txt&nbsp;</A>&nbsp; <BR>(6) Monthly returns of 40 stocks in Table 9.6:<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Company ID, date, return): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-apca0103.txt">m-apca0103.txt</A>&nbsp;&nbsp; <BR></FONT></P> <P><FONT face=Arial size=4><SPAN style="COLOR: rgb(0,153,0)">Data sets for Exercises:</SPAN><BR>1. Monthly returns of stocks and VW index: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-mrk2vw.txt">m-mrk2vw.txt</A>&nbsp;&nbsp; <BR></FONT></P> <P><FONT face=Arial size=4>2 to 6. Monthly simple excess returns:&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-excess-c10sp-9003.txt">m-excess-c10sp-9003.txt</A>&nbsp; <BR></FONT></P> <P><FONT face=Arial size=4><BR></FONT></P> <P><FONT face=Arial color=#ff0000 size=4>Chapter 10: Multivariate Volatility Models and Their Applications</FONT></P> <P><FONT face=Arial size=4>Data sets used in the text: <BR>(1) Daily log returns of HK and Japan market indices (Example 9.1):<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Data file (491 data pts): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-hkja.txt">d-hkja.txt</A>&nbsp;&nbsp; <BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bivariate GARCH programs: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/hkja-c.rats">hkja-c.rats</A>&nbsp;and <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/hkja-c1.rats">hkja-c1.rats</A><BR>(2) Monthly returns of Pfizer and Merck stocks:<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-pfe6503.txt">m-pfe6503.txt</A>&nbsp;&nbsp; and <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-mrk6503.txt">m-mrk6503.txt&nbsp;</A> <BR>(3) Monthly returns of IBM and S&amp;P 500: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibmsp2699.txt">m-ibmsp2699.txt</A>&nbsp;&nbsp; <BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Constant-correlation GARCH program: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibmsp-ex92.rats">ibmsp-ex92.rats</A><BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Time-varying correlation GARCH: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibmsp-ex92q.rats">ibmsp-ex92q.rats</A><BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cholesky Decomposition: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/ibmsp-choles.rats">ibmsp-choles.rats</A> <BR>(4) Daily log returns of S&amp;P 500, Cisco and Intel stocks:<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Data (3 columns):&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-spcscointc.txt">d-spcscointc.txt</A>&nbsp;&nbsp;&nbsp; <BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Time-varying 3-dim GARCH model: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/cholesky-ex93.rats">cholesky-ex93.rats</A> </FONT></P> <P><FONT face=Arial size=4><FONT color=#006600>Data sets for Exercises:<BR></FONT>1. Problems 1 to 4: Monthly log returns of S&amp;P 500, IBM <BR>&nbsp;&nbsp;&nbsp; and GE stocks: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-spibmhpq6203.txt">m-spibmhpq6203.txt</A> &nbsp; <BR></FONT></P> <P><FONT face=Arial size=4>5. Problems 5 to 8: Monthly log returns, in percentages, of <BR>&nbsp;&nbsp;&nbsp;&nbsp; S&amp;P 500 index, IBM and GE stocks: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-spibmge.txt">m-spibmge.txt</A>&nbsp;&nbsp; <BR><A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-spibmge.dat"></A></FONT></P> <P><FONT face=Arial size=4>9. Daily log returns of Dell and Cisco stocks: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-dellcsco9099.txt">d-dellcsco9099.txt</A> &nbsp; <BR></FONT></P> <P><FONT face=Arial size=4><BR></FONT></P> <P style="COLOR: rgb(255,0,0)"><FONT face=Arial size=4>Chapter 11: State-Space Models and Kalman Filter</FONT></P> <P><FONT face=Arial size=4>Data sets used in the text:<BR>(1) Daily realized volatility series of Alcoa stock: (5m, 10m, 20m)<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/aa-3rv.txt"> aa-3rv.txt</A>&nbsp;&nbsp; <BR>(2) Monthly excess returns of GM stock: see Table 9.1 of Chapter 9.<BR>(3) Quarterly earnings of Johnson and Johnson: see Chapter 2.<BR></FONT></P> <P><FONT face=Arial size=4><SPAN style="COLOR: rgb(0,153,0)">Data sets for Exercises:</SPAN><BR>2. Realized volatility of Alcoa&nbsp; stock (20m interval): <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/aa-rv-20m.txt">aa-rv-20m.txt</A>&nbsp;&nbsp; <BR></FONT></P> <P><FONT face=Arial size=4>3. Monthly simple excess returns of Pfizer stock and S&amp;P 500 index:<BR>&nbsp;&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-pfesp-ex9003.txt">m-pfesp-ex9003.txt</A>&nbsp;&nbsp; <BR></FONT></P> <P><FONT face=Arial size=4><BR></FONT></P> <P><FONT face=Arial color=#ff0000 size=4>Chapter 12: Markov Chain Monte Carlo Methods with Applications</FONT></P> <P><FONT face=Arial size=4>Data sets used in the text:<BR>(1) Change series of weekly US interest rates (3-y &amp; 1-y):<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/w-gs3n1c.txt">w-gs3n1c.txt</A>&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/w-gs3n1c.dat"></A><BR>(2) Change series of weekly US 3-yr interest rate: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/w-gs3c.txt">w-gs3c.txt</A>&nbsp; <BR>(3) Monthly log returns of S&amp;P 500 index: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-sp6299.txt">m-sp6299.txt&nbsp;</A>&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-sp6299.dat"></A><BR>(4) Monthly log returns of IBM stock &amp; SP 500: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibmspln6299.txt">m-ibmspln6299.txt</A>&nbsp;&nbsp; <BR>(5) Monthly log prices of S&amp;P 500 index: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-sp5-6204.txt">m-sp5-6204.txt</A>&nbsp;&nbsp; <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-ibmsp6299.dat"></A><BR>(6) Monthly log returns of GE stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-geln.txt">m-geln.txt </A>&nbsp;&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-geln.dat"></A> </FONT></P> <P><FONT face=Arial><FONT size=4><FONT color=#006600>Data sets for Exercises:<BR></FONT>4. Monthly log returns of GM stock and S&amp;P500: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/m-gmsp5099.txt">m-gmsp5099.txt</A>&nbsp; <BR></FONT></FONT></P> <P><FONT face=Arial><FONT size=4>5. Daily returns of Cisco stock: <A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-csco9199.txt">d-csco9199.txt</A> &nbsp;&nbsp;<A href="http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2/d-csco9199.dat"></A></FONT></FONT></P> <P><FONT face=Arial size=4>6. Monthly returns of GM stock and S&amp;P 500 index: See Problem 4.<BR></FONT></P></BODY></HTML>