AIM 00 Data resources

Time series financial analysis depends critically on historical data. A number of useful data resources are provided below.

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• US trade dates 19271230-20240930.xlsx

  • A number of data services like Bloomberg, FactSet, and Refinitiv Datastream provide daily data for thousands of securities worldwide. Because different countries have different trading days during the year (i.e., Martin Luther King Day is celebrated in the U.S. only), dates and prices often appear even though they were not trading days. Usually the reported price is simply the price from the previous day. Since this information is valueless, it should not be included in any financial analysis for statistical reasons (i.e,, "errors-in-the-variables"). This file contains all U.S. trade dates since December 30, 1927.  

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• Daily Fed funds rates 1954-present.xlsx

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• ETP report generator 20231229.xlsx

  • ETFdb.com is a service that tracks all ETPs traded in the U.S. and updates their information. The basic service is free. For an annual fee, they permit data downloads. This Excel file contains all ETPs as of the year-end 2023 and will be used in lectures and assignments.