gamlss.data: tse – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

tse

The Turkish stock exchange index

Description

The Turkish stock exchange index, was recorded daily from 1/1/1988 to 31/12/1998. The daily returns, ret=log(I_(i+1)/I_(i)), were obtained for i = 1,2,...,2868.

Usage

data(tse)

Format

A data frame with 2868 observations on the following 4 variables.

year: the year
month: the month
day: the day
ret: day returns ret[t]=ln(currency[t])-ln(currency[t-1])
currency: the currency exchange rate
tl: day return ret[t]=log10(currency[t])-log10(currency[t-1])

References

Ricard D. F. Harris and C. Coskun Kucukozen The Empirical Distribution of Stock returns: Evidence from a Emerging European Market, Applied Economic Letters, 2001,8, pages 367-371.

Examples

data(tse)
plot(ts(tse$ret))

gamlss.data

Data for Generalised Additive Models for Location Scale and Shape

v6.0-1

GPL-2 | GPL-3

Authors

Mikis Stasinopoulos <d.stasinopoulos@londonmet.ac.uk>, Bob Rigby, Fernanda De Bastiani

Initial release

2021-03-18

tse