Instructional dataset, Accompanying Econometric Analysis of Financial Time Series, Terence C. Mills, Cambridge University Press, 2d ed. (c) 2000 Datasets also accessible in ASCII from http://www.lboro.ac.uk/departments/ec/cup Includes the variables: S&P500D: S&P 500 index, daily, 1928 to 1991 (17,054 observations)