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data sources

Gabor Grothendieck
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.

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Re: data sources

Paul DeBruicker
Hi Gabor,

Here's a few places to start for monthly prices:

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.
http://www.wilshire.com/Indexes/calculator/



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.

FRED (The Federal Reserve in St. Louis) has loads of free time series
as well. http://research.stlouisfed.org/fred2/



Hope this helps


Paul DeBruicker



On 3/1/06, Gabor Grothendieck <[hidden email]> wrote:
> 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.
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>

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Re: data sources

Fernando Saldanha-2
In reply to this post by Gabor Grothendieck
From: "Gabor Grothendieck" <[hidden email]>

> 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.

Yahoo Finance has lots of historical data on stocks and indexes. For
example, for the Nasdaq 100, go to

http://finance.yahoo.com/q/hp?s=%5ENDX

FS

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Re: data sources

Albrecht, Dr. Stefan (AIM SE)
In reply to this post by Gabor Grothendieck
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,
Stefan


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.


        [[alternative HTML version deleted]]

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Re: data sources

Gabor Grothendieck
Hi, Thanks for the info.  Regards.

On 3/6/06, [hidden email] <[hidden email]> wrote:

>
> 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,
> Stefan
>
>
> 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.
>
>

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Re: data sources

Steve Miller-4
In reply to this post by Fernando Saldanha-2
Russell:
http://www.russell.com/US/Indexes/US/index_values.asp

MSCI:
http://www.msci.com/us/indexperf/index.html

French/Fama:
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

Wilshire:
http://www.wilshire.com/Indexes/calculator/

Barra:
http://www.barra.com/Research/DownloadMonthlyReturns.aspx

Steve Miller

----- Original Message -----
From: "Fernando Saldanha" <[hidden email]>
To: <[hidden email]>
Sent: Thursday, March 02, 2006 9:04 AM
Subject: Re: [R-sig-finance] data sources


> From: "Gabor Grothendieck" <[hidden email]>
>
>> 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.
>
> Yahoo Finance has lots of historical data on stocks and indexes. For
> example, for the Nasdaq 100, go to
>
> http://finance.yahoo.com/q/hp?s=%5ENDX
>
> FS
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>

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Re: data sources

stefano iacus-2
Can I suggest to add all these useful links to the Cran TaskView on  
Finance.

stefano

Il giorno 06/mar/06, alle ore 16:30, steve miller ha scritto:

> Russell:
> http://www.russell.com/US/Indexes/US/index_values.asp
>
> MSCI:
> http://www.msci.com/us/indexperf/index.html
>
> French/Fama:
> http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ 
> data_library.html
>
> Wilshire:
> http://www.wilshire.com/Indexes/calculator/
>
> Barra:
> http://www.barra.com/Research/DownloadMonthlyReturns.aspx
>
> Steve Miller
>
> ----- Original Message -----
> From: "Fernando Saldanha" <[hidden email]>
> To: <[hidden email]>
> Sent: Thursday, March 02, 2006 9:04 AM
> Subject: Re: [R-sig-finance] data sources
>
>
>> From: "Gabor Grothendieck" <[hidden email]>
>>
>>> 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.
>>
>> Yahoo Finance has lots of historical data on stocks and indexes. For
>> example, for the Nasdaq 100, go to
>>
>> http://finance.yahoo.com/q/hp?s=%5ENDX
>>
>> FS
>>
>> _______________________________________________
>> [hidden email] mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance

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Re: data sources

Dirk Eddelbuettel

On 7 March 2006 at 11:56, stefano iacus wrote:
| Can I suggest to add all these useful links to the Cran TaskView on  
| Finance.

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).

Dirk
 
--
Hell, there are no rules here - we're trying to accomplish something.
                                                  -- Thomas A. Edison

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