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FinTS (version 0.3-9)

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 0.3-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.

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Version

Install

install.packages('FinTS')

Monthly Downloads

4,487

Version

0.3-9

License

GPL (>= 2)

Maintainer

Spencer Graves

Last Published

January 26th, 2024

Functions in FinTS (0.3-9)

FinTS-package

Companion to Tsay (2005) Analysis of Financial Time Series
TsayFiles

List of the names of files downloaded from the "Analysis of Financial Data" web site.
ch01data

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

Reading Monthly zoo Series
Acf

Autocorrelation Function
ARIMA

Arima with Ljung-Box
ch12data

financial time series for Tsay (2005, chapter 12[text])
url2data

Create local copies of files read from urls.
ch06data

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

plot the theoretical ACF corresponding to an ARMA model
ArchTest

ARCH LM Test
ch08data

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

compute compound interest
ch05data

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

Box-Ljung autocorrelation test
Unitroot

unit root tests
ch03data

financial time series for Tsay (2005, chapter 3[text])
as.yearmon2

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

Directory of a package
ch09data

financial time series for Tsay (2005, chapter 9[text])
ch02data

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

Financial Time Series summary statistics
apca

Asymptotic PCA
ch04data

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

Run a package script
ch07data

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

Find complex conjugate pairs
plot.loadings

Plot loadings
ch11data

financial time series for Tsay (2005, chapter 11[text])
ch10data

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