% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/stock.R
\docType{data}
\name{stock}
\alias{stock}
\title{The Data Set of Monthly Stock Return and Stock Variance}
\format{
A data object with two variables
}
\usage{
data(stock)
}
\description{
The dataset contains monthly excess stock returns and stock variance,
which are included in the data set analyzed in Goyal and Welch (2008).
Stock returns are measured by the S&P 500 index and include dividends.
A treasury-bill rate is subtracted from stock returns to give excess stock returns
The stock variance is a volatility estimate based on daily squared returns
and is treated as an estimate of equity risk in the literature.
The sample period is from February 1885 to December 2005 with sample size 1,451.
\itemize{
\item Date:   Year-Month-Day
\item Return:   excess stock returns
\item Variance: stock variance
}
}
\references{
Han, H., Linton, O., Oka, T., and Whang, Y. J. (2016).
"The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series."
\emph{Journal of Econometrics}, 193(1), 251-270.

Welch, Ivo, and Amit Goyal.
"A comprehensive look at the empirical performance of equity premium prediction."
\emph{Review of Financial Studies} 21.4 (2008): 1455-1508.
}
\keyword{datasets}
