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FinTS (version 0.4-4)

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

0.4-4

License

GPL (>= 2)

Maintainer

Spencer Graves

Last Published

July 23rd, 2012

Functions in FinTS (0.4-4)

FinTS.stats

Financial Time Series summary statistics
FinTS-package

Companion to Tsay (2005) Analysis of Financial Time Series
plot.loadings

Plot loadings
ch06data

financial time series for Tsay (2005, chapter 6[text])
ch02data

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

Reading Monthly zoo Series
ch01data

financial time series for Tsay (2005, chapter 1[text])
ch07data

financial time series for Tsay (2005, chapter 7[text])
ch12data

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

Autocorrelation Function
runscript

Run a package script
plotArmaTrueacf

plot the theoretical ACF corresponding to an ARMA model
package.dir

Directory of a package
as.yearmon2

Conditionally convert x to yearmon if the conversion is unqique, retaining x as names.
ch09data

financial time series for Tsay (2005, chapter 9[text])
ch04data

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

compute compound interest
ch11data

financial time series for Tsay (2005, chapter 11[text])
ch08data

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

ARCH LM Test
url2data

Create local copies of files read from urls.
findConjugates

Find complex conjugate pairs
AutocorTest

Box-Ljung autocorrelation test
apca

Asymptotic PCA
ARIMA

Arima with Ljung-Box
Unitroot

unit root tests
ch03data

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

List of the names of files downloaded from the "Analysis of Financial Data" web site.
ch05data

financial time series for Tsay (2005, chapter 5[text])
ch10data

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