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.

Author
Spencer Graves
Date of publication
2014-03-28 07:18:30
Maintainer
Spencer Graves <spencer.graves@prodsyse.com>
License
GPL (>= 2)
Version
0.4-5
URLs

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