Wilshire has them for U.S. domestic equity and REIT indices back to
Jan 1979. They're broken up by style and capitalization. You want
Return Since Inception, probably. Each index can be downloaded
individually as a *.csv file.
MSCI has them for international equities and most of their other
indices. You'll have to register and agree to their license. I
forget how, exactly, you can access the data, but starting with the
"License & Data Download" button on the left hand side of the
http://www.msci.com website is where I'd start. They go back into the
1970's as well.
Citigroup has them for American bonds (govt, corporate, agency,
mortgages) through the bloomberg with their BIG indices. enter SBI
<Go> on the Bloomberg to get the index tickers then download as you
normally would into R or Excel. You can probably get international
bond information from them as well, but I haven't looked for them.
CRSP has their own index product for about $8,000 per year. They
offer discounts based on assets under management.
Gabor Grothendieck ggrothendieck at gmail.com
Wed Mar 1 20:49:07 CET 2006
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Is anyone aware of data sources, preferably free but
commercial if need be, for historical price
data (daily, weekly or even monthly would be ok)
for various broad asset classes.
> Dear Gabor,
> we use Datastream and Venture Economics.
> http://www.thomson.com/financial/financial.jsp >
> Bloomberg has also time series, although they are in my (outdated)
> experience not as long as the ones from Datastream. Access to Bloomberg
> might be difficult without a Bloomberg terminal.
> Some people also use LIM
> http://www.lim.com/ > though I have no experience with it.
> All these are, of course, not for free at all.
> Best regards,
> Gabor Grothendieck ggrothendieck at gmail.com
> Wed Mar 1 20:49:07 CET 2006
> Previous message: [R-sig-finance] some doubts in garch models
> Next message: [R-sig-finance] data sources
> Messages sorted by: [ date ] [ thread ] [ subject ] [ author ]
> Is anyone aware of data sources, preferably free but
> commercial if need be, for historical price
> data (daily, weekly or even monthly would be ok)
> for various broad asset classes.
On 7 March 2006 at 11:56, stefano iacus wrote:
| Can I suggest to add all these useful links to the Cran TaskView on
Good idea, I've put it on the TODO list for the Finance Taskview.
By the same token, shouldn't the CRANmasters add links to the nice documents
that Bernhard reminded us of, as well as Ajay's KB (which, as I recall, is
already referenced from the Econometrics Taskview).
Hell, there are no rules here - we're trying to accomplish something.
-- Thomas A. Edison