Since this chapter explores the statistical properties of time series, we need certain data. It is a great idea to employ publicly available economic, financial, and accounting data since every reader can download these time series with no cost. The free data sources are summarized in the following table:
Name |
Web page |
---|---|
Yahoo! Finance | |
Google Finance | |
Federal Reserve Bank Data Library | |
Financial statements | |
Russell indices | |
Prof. French's Data Library |
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html |
Fama-French factors, market index, risk-free rate, and industry classification | |