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FinTS (version 0.2-5)

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 and 2 plus parts of chapters 3 and 11.

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Version

Install

install.packages('FinTS')

Monthly Downloads

9,067

Version

0.2-5

License

GPL (>= 2)

Maintainer

Spencer Graves

Last Published

January 26th, 2024

Functions in FinTS (0.2-5)

Box-Ljung autocorrelation test

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

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

Financial Time Series summary statistics

Conditionally convert x to yearmon if the conversion is unqique, retaining x as names.

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

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

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

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

compoundInterest

compute compound interest

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

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

Find complex conjugate pairs

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

Reading Monthly zoo Series

plotArmaTrueacf

plot the theoretical ACF corresponding to an ARMA model

unit root tests

Create local copies of files read from urls.

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

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

Arima with Ljung-Box

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

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