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FinTS (version 0.1-17)

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 0.1-x includes R objects for all data files used in the text and a script file to recreate most of the analyses in ch. 1 plus part of ch. 2.

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Version

Install

install.packages('FinTS')

Monthly Downloads

4,487

Version

0.1-17

License

GPL version 2 or newer

Maintainer

Spencer Graves

Last Published

January 26th, 2024

Functions in FinTS (0.1-17)

financial time series for Tsay (2005, chapter 5[text])

financial time series for Tsay (2005, chapter 11[text])

financial time series for Tsay (2005, chapter 1[text])

unit root tests

financial time series for Tsay (2005, chapter 6[text])

Create local copies of files read from urls.

financial time series for Tsay (2005, chapter 7[text])

Box-Ljung autocorrelation test

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

Financial Time Series summary statistics

financial time series for Tsay (2005, chapter 10[text])

Arima with Ljung-Box

plotArmaTrueacf

plot the theoretical ACF corresponding to an ARMA model

compoundInterest

compute compound interest

financial time series for Tsay (2005, chapter 8[text])

financial time series for Tsay (2005, chapter 2[text])

financial time series for Tsay (2005, chapter 3[text])

financial time series for Tsay (2005, chapter 12[text])

financial time series for Tsay (2005, chapter 4[text])

financial time series for Tsay (2005, chapter 9[text])

Find complex conjugate pairs