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FinTS (version 0.2-6)

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

4,487

Version

0.2-6

License

GPL (>= 2)

Maintainer

Spencer Graves

Last Published

January 26th, 2024

Functions in FinTS (0.2-6)

compoundInterest

compute compound interest

Box-Ljung autocorrelation test

unit root tests

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

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

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

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

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

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

Arima with Ljung-Box

Find complex conjugate pairs

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

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

Create local copies of files read from urls.

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

Autocorrelation Function

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

Financial Time Series summary statistics

Reading Monthly zoo Series

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

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

plotArmaTrueacf

plot the theoretical ACF corresponding to an ARMA model

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

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