FinTS: Companion to Tsay (2005) Analysis of Financial Time Series

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.

AuthorSpencer Graves
Date of publication2014-03-28 07:18:30
MaintainerSpencer Graves <spencer.graves@prodsyse.com>
LicenseGPL (>= 2)
Version0.4-5
http://faculty.chicagobooth.edu/ruey.tsay/teaching/bs41202/sp2009

View on CRAN

Man pages

Acf: Autocorrelation Function

apca: Asymptotic PCA

ArchTest: ARCH LM Test

ARIMA: Arima with Ljung-Box

as.yearmon2: Conditionally convert x to yearmon if the conversion is...

AutocorTest: Box-Ljung autocorrelation test

ch01data: financial time series for Tsay (2005, chapter 1[text])

ch02data: financial time series for Tsay (2005, chapter 2[text])

ch03data: financial time series for Tsay (2005, chapter 3[text])

ch04data: financial time series for Tsay (2005, chapter 4[text])

ch05data: financial time series for Tsay (2005, chapter 5[text])

ch06data: financial time series for Tsay (2005, chapter 6[text])

ch07data: financial time series for Tsay (2005, chapter 7[text])

ch08data: financial time series for Tsay (2005, chapter 8[text])

ch09data: financial time series for Tsay (2005, chapter 9[text])

ch10data: financial time series for Tsay (2005, chapter 10[text])

ch11data: financial time series for Tsay (2005, chapter 11[text])

ch12data: financial time series for Tsay (2005, chapter 12[text])

compoundInterest: compute compound interest

findConjugates: Find complex conjugate pairs

FinTS-package: Companion to Tsay (2005) Analysis of Financial Time Series

FinTS.stats: Financial Time Series summary statistics

package.dir: Directory of a package

plotArmaTrueacf: plot the theoretical ACF corresponding to an ARMA model

plot.loadings: Plot loadings

read.yearmon: Reading Monthly zoo Series

runscript: Run a package script

TsayFiles: List of the names of files downloaded from the "Analysis of...

Unitroot: unit root tests

url2data: Create local copies of files read from urls.

Files in this package

FinTS
FinTS/inst
FinTS/inst/scripts
FinTS/inst/scripts/ch11.R
FinTS/inst/scripts/create-ch04.R
FinTS/inst/scripts/ch09.R
FinTS/inst/scripts/ch01.R
FinTS/inst/scripts/create-ch05.R
FinTS/inst/scripts/ch02.R
FinTS/inst/scripts/create-ch06.R
FinTS/inst/scripts/create-ch03.R
FinTS/inst/scripts/create-ch09.R
FinTS/inst/scripts/create-ch08.R
FinTS/inst/scripts/create-ch01.R
FinTS/inst/scripts/create-ch02.R
FinTS/inst/scripts/TsayFiles.7z
FinTS/inst/scripts/TsayFiles.R
FinTS/inst/scripts/create-ch07.R
FinTS/inst/scripts/create-ch11.R
FinTS/inst/scripts/ch04.R
FinTS/inst/scripts/create-ch10.R
FinTS/inst/scripts/ch03.R
FinTS/inst/scripts/create-ch12.R
FinTS/NAMESPACE
FinTS/NEWS
FinTS/data
FinTS/data/w.tb6ms.rda
FinTS/data/m.ibm2697.rda
FinTS/data/m.intc7303.rda
FinTS/data/m.msft8603.rda
FinTS/data/m.geln.rda
FinTS/data/d.fxjp00.rda
FinTS/data/m.ibmln2699.rda
FinTS/data/m.decile1510.rda
FinTS/data/sp500.rda
FinTS/data/q.gnp4791.rda
FinTS/data/m.3m4603.rda
FinTS/data/d.3m6203.rda
FinTS/data/m.ibmsp2699ln.rda
FinTS/data/m.mrk6503.rda
FinTS/data/w.tb3n6ms.rda
FinTS/data/d.ibmvwewsp6203.rda
FinTS/data/day15.ori.rda
FinTS/data/ibm.rda
FinTS/data/m.apca0103.rda
FinTS/data/m.3m4697.rda
FinTS/data/m.barra.9003.rda
FinTS/data/m.unrate.rda
FinTS/data/m.bnd.rda
FinTS/data/w.gs3n1c.rda
FinTS/data/m.vw2697.rda
FinTS/data/m.gs10.rda
FinTS/data/d.sp9003lev.rda
FinTS/data/TsayFiles.rda
FinTS/data/m.fac9003.rda
FinTS/data/d.ibmy98.rda
FinTS/data/m.sp6299.rda
FinTS/data/ibm9912.tp.rda
FinTS/data/day15.rda
FinTS/data/m.ibmspln.rda
FinTS/data/ibmdurad.rda
FinTS/data/w.gs1n36299.rda
FinTS/data/m.ibmsplnsu.rda
FinTS/data/ibm91.ads.rda
FinTS/data/m.gs5.rda
FinTS/data/m.5cln.rda
FinTS/data/q.unemrate.rda
FinTS/data/w.tb3ms.rda
FinTS/data/m.gs1n3.5301.rda
FinTS/data/d.ibm6298wmx.rda
FinTS/data/ibm1to5.dur.rda
FinTS/data/m.fama.bond5203.rda
FinTS/data/d.cscoy99.rda
FinTS/data/m.ibm3dx2603.rda
FinTS/data/m.sp5.6204.rda
FinTS/data/d.msft8603.rda
FinTS/data/datalist
FinTS/data/sp5may.rda
FinTS/data/m.pfe6503.rda
FinTS/data/d.c8603.rda
FinTS/data/m.cpice16.dp7503.rda
FinTS/data/exch.perc.rda
FinTS/data/q.jnj.rda
FinTS/data/w.gs3c.rda
FinTS/data/aa.3rv.rda
FinTS/data/d.spcscointc.rda
FinTS/data/m.ibmvwewsp2603.rda
FinTS/data/w.3mtbs7097.rda
FinTS/data/q.gdp4703.rda
FinTS/data/m.gs1.rda
FinTS/data/d.intc7297.rda
FinTS/data/d.hkja.rda
FinTS/data/m.c8603.rda
FinTS/data/m.ibmspln6299.rda
FinTS/data/m.gs3.rda
FinTS/data/d.sp8099.rda
FinTS/data/d.intc7303.rda
FinTS/data/ibm91.adsx.rda
FinTS/R
FinTS/R/plot.loadings.R FinTS/R/AutocorTest.R FinTS/R/read.yearmon.R FinTS/R/apca.R FinTS/R/runscript.R FinTS/R/Acf.R FinTS/R/package.dir.R FinTS/R/as.yearmon2.R FinTS/R/Unitroot.R FinTS/R/compoundInterest.R FinTS/R/simple2logReturns.R FinTS/R/ArchTest.R FinTS/R/url2data.R FinTS/R/plotArmaTrueacf.R FinTS/R/FinTS.stats.R FinTS/R/findConjugates.R FinTS/R/ARIMA.R
FinTS/MD5
FinTS/README
FinTS/DESCRIPTION
FinTS/man
FinTS/man/as.yearmon2.Rd FinTS/man/apca.Rd FinTS/man/ch07data.Rd FinTS/man/ch05data.Rd FinTS/man/ArchTest.Rd FinTS/man/read.yearmon.Rd FinTS/man/ch10data.Rd FinTS/man/FinTS-package.Rd FinTS/man/ARIMA.Rd FinTS/man/TsayFiles.Rd FinTS/man/ch09data.Rd FinTS/man/ch04data.Rd FinTS/man/findConjugates.Rd FinTS/man/AutocorTest.Rd FinTS/man/Acf.Rd FinTS/man/runscript.Rd FinTS/man/ch03data.Rd FinTS/man/ch08data.Rd FinTS/man/ch02data.Rd FinTS/man/ch12data.Rd FinTS/man/plot.loadings.Rd FinTS/man/ch11data.Rd FinTS/man/url2data.Rd FinTS/man/FinTS.stats.Rd FinTS/man/ch01data.Rd FinTS/man/package.dir.Rd FinTS/man/compoundInterest.Rd FinTS/man/Unitroot.Rd FinTS/man/plotArmaTrueacf.Rd FinTS/man/ch06data.Rd

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