Chapter 5: High-Frequency Data Analysis and Market Microstructure
Data stes used in 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). 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 November 21, 1990 (a) original data: day15-ori.dat (b) data for PCD models: day15.dat data descriptions in file day15.txt
RATS 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 durations of IBM stock (11/2/90): ibm-d2-dur.dat
5. Transactions data of 3M (12/99): mmm9912-dtp.dat (large)
6. Adjusted durations of 3M (12/99): mmm9912-adur.dat
Chapter 6: Continuous-Time Models and Their Applications
Data sets used in the text:(1) Daily simple returns of IBM stock in 1998: ibmy98.dat(2) Daily log returns of Cisco stock in 1999: d-cscoy99ln.dat
Source 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 Risk
Data 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 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: ibmln98wm.dat (b) The explanatory variables on page 294: ibml25x.dat
Data sets for exercises:1. Daily log returns (in percentages) of GE stock: d-geln.dat
2. Daily log returns (in percentages) of Cisco stock: d-csco9199.dat
3. See problem 2.
4. Daily log returns of HP and 3 indexes: d-hwp3dx8099.dat
Chapter 8: Multivariate Time Series Analysis and Its Applications
Data sets used in the text:(1) Monthly log returns of IBM and SP 500: m-ibmspln.dat The SCA commands used to 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.dat SCA 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.dat
Data sets for exercises:1. Monthly log returns of MRK et al.: m-mrk2vw.dat
2. Monthly U.S. interest rates (1 & 10 yrs): m-gs1n10.dat
3. See problem 2.
4. See problem 2.
Chapter 9: Multivariate Volatility Models and Their Applications
Data sets used in the text: (1) Daily log returns of HK and Japan market index (Example 9.1): Data file (491 data pts): hkja.dat Bivariate GARCH programs: hkja-c.rats and hkja-c1.rats(2) Monthly log returns of IBM and SP 500: m-ibmspln.dat Constant-correlation GARCH program: ibmsp-ex92.rats Time-varying correlation GARCH: ibmsp-ex92q.rats Cholesky Decomposition: ibmsp-choles.rats (3) Daily log returns of S&P 500, Cisco and Intel stocks: Data (3 columns): d-cscointc.dat Time-varying 3-dim GARCH model: cholesky-ex93.rats
Data sets for exercises:1. Problems 1 to 5: Monthly log returns of S&P 500, IBM and GE stocks: m-spibmge.dat
6. Daily log returns of Dell and Cisco stocks: d-dellcsco9099.dat
Chapter 10: Markov Chain Monte Carlo Methods with Applications
Data 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) Monthly 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.dat
Data sets for exercises:4. Monthly log returns of GM stock & SP500: m-gmsp5099.dat
5. Daily log returns of Cisco stock: d-csco9199.dat
6. See Problem 4.
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