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FinTS (version 0.4-9)

Companion to Tsay (2005) Analysis of Financial Time Series

Description

R companion to Tsay (2005) Analysis of Financial Time Series, second edition (Wiley). Includes data sets, functions and script files required to work some of the examples. Version 0.3-x includes R objects for all data files used in the text and script files to recreate most of the analyses in chapters 1-3 and 9 plus parts of chapters 4 and 11.

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Version

Install

install.packages('FinTS')

Monthly Downloads

5,855

Version

0.4-9

License

GPL (>= 2)

Last Published

January 26th, 2024

Functions in FinTS (0.4-9)

ch07data

Financial time series for Tsay (2005, ch. 7)
ch03data

Financial time series for Tsay (2005, ch. 3)
ch10data

Financial time series for Tsay (2005, ch. 10)
ch11data

Financial time series for Tsay (2005, ch. 11)
ch08data

Financial time series for Tsay (2005, ch. 8)
ch02data

Financial time series for Tsay (2005, ch. 2)
ch06data

Financial time series for Tsay (2005, ch. 6)
ch04data

Financial time series for Tsay (2005, ch. 4)
ch09data

Financial time series for Tsay (2005, ch. 9)
compoundInterest

Compute compound interest
plot.loadings

Plot loadings
ch05data

Financial time series for Tsay (2005, ch. 5)
findConjugates

Find complex conjugate pairs
url2data

Create local copies of files read from urls
package.dir

Directory of a package
runscript

Run a package script
plotArmaTrueacf

Plot the theoretical ACF corresponding to an ARMA model
read.yearmon

Reading Monthly zoo Series
ch12data

Financial time series for Tsay (2005, ch. 12)
TsayFiles

List of the names of files downloaded from the "Analysis of Financial Data" web site.
AutocorTest

Box-Ljung autocorrelation test
ch01data

Financial time series for Tsay (2005, ch. 1)
apca

Asymptotic PCA
FinTS.stats

Financial Time Series summary statistics
ARIMA

Arima with Ljung-Box
Acf

Autocorrelation Function
as.yearmon2

Conditionally convert x to yearmon if the conversion is unique, retaining x as names.
FinTS-package

pd <- packageDescription("FinTS") lb <- library(help="FinTS", character.only=TRUE) pd$Title
ArchTest

ARCH LM Test