Weekly log-returns of the Dow Jones Industrial Average index. 769 observations, from week 1 in 1980 to week 39 in 1994. This series is analysed in Time Series Models for Business and Economic Forecasting by P. H. Franses.

The Dow Jones example is only included in the first version of our paper, obtainable upon request from Piotr Fryzlewicz. We have skipped this example in the revised version.

To read more about the Dow Jones Averages, go to Dow Jones Indexes.

The series is plotted below: