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FinTS (version 0.4-5)

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 0.3-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

8,640

Version

0.4-5

License

GPL (>= 2)

Maintainer

Spencer Graves

Last Published

March 28th, 2014

Functions in FinTS (0.4-5)

TsayFiles

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

Box-Ljung autocorrelation test
ch02data

financial time series for Tsay (2005, chapter 2[text])
ch04data

financial time series for Tsay (2005, chapter 4[text])
ch09data

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

unit root tests
as.yearmon2

Conditionally convert x to yearmon if the conversion is unqique, retaining x as names.
ch06data

financial time series for Tsay (2005, chapter 6[text])
ch08data

financial time series for Tsay (2005, chapter 8[text])
ch10data

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

plot the theoretical ACF corresponding to an ARMA model
runscript

Run a package script
ch01data

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

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

Directory of a package
findConjugates

Find complex conjugate pairs
ch11data

financial time series for Tsay (2005, chapter 11[text])
ch03data

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

Reading Monthly zoo Series
compoundInterest

compute compound interest
ch12data

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

Companion to Tsay (2005) Analysis of Financial Time Series
url2data

Create local copies of files read from urls.
Acf

Autocorrelation Function
ArchTest

ARCH LM Test
apca

Asymptotic PCA
ch05data

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

Plot loadings
FinTS.stats

Financial Time Series summary statistics
ARIMA

Arima with Ljung-Box