FinTS (version 0.4-5)

FinTS-package: Companion to Tsay (2005) Analysis of Financial Time Series

Description

R companion to Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley). Includes data sets, functions and script files required to work some of the examples. Version 0.2-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.

Details

ll{ Package: FinTS Type: Package Version: 0.3-3 Date: 2008-05-23 License: GPL (>= 2) URL: http://www.r-project.org Depends: zoo, graphics Suggests: moments, distrEx, tseries, urca, lmtest, sandwich, psych, GPArotation, chron, polynom, fUnitRoots, e1071 Packaged: Sat May 24 11:32:56 2008; spencerg Built: R 2.7.0; ; 2008-05-24 11:36:17; windows } Index: ARIMA Arima with Ljung-Box Acf Autocorrelation Function ArchTest ARCH LM Test AutocorTest Box-Ljung autocorrelation test FinTS.stats Financial Time Series summary statistics TsayFiles List of the names of files downloaded from the "Analysis of Financial Data" web site. Unitroot unit root tests apca Asymptotic PCA as.yearmon2 Conditionally convert x to yearmon if the conversion is unqique, retaining x as names. ch01data financial time series for Tsay (2005, chapter 1[text]) compoundInterest compute compound interest findConjugates Find complex conjugate pairs package.dir Directory of a package plot.loadings Plot loadings plotArmaTrueacf plot the theoretical ACF corresponding to an ARMA model read.yearmon Reading Monthly zoo Series runscript Run a package script url2data Create local copies of files read from urls. See the scripts subdirectory of the FinTS installation directory = system.file(package='FinTS'). Corrections to the script files provided and contributions to script files for other chapters will be graciously accepted.

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley)

See Also

http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2

Examples

# Where is the 'FinTS' directory?
system.file(package='FinTS')

# View the script file 'ch01.R', which is in the 'scripts'
# subdirectory of the system.file(package='FinTS') directory:
runscript(1, 'view')

# SP statistics in Table 1.2 of Tsay
data(d.ibmvwewsp6203)
FinTS.stats(100*d.ibmvwewsp6203[, "SP"])