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FinTS (version 0.3-3)

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

0.3-3

License

GPL (>= 2)

Maintainer

Spencer Graves

Last Published

January 26th, 2024

Functions in FinTS (0.3-3)

Autocorrelation Function

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

unit root tests

Financial Time Series summary statistics

Arima with Ljung-Box

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

Directory of a package

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

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

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

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

Box-Ljung autocorrelation test

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

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

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

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

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

Run a package script

plotArmaTrueacf

plot the theoretical ACF corresponding to an ARMA model

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

Reading Monthly zoo Series

Create local copies of files read from urls.

Find complex conjugate pairs

compoundInterest

compute compound interest

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

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