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

Description Usage Format Source References See Also

Description

Financial time series used in examples in chapter 8.

Usage

1
2
3
4
5

Format

Source

http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2

References

Forbes, C. S., Kalb, G. R. J., and Kofman, P. (1999) 'Bayesian Arbitrage Threshold Analysis', Journal of Business and Economic Statistics, 17: 364-372.

Ruey Tsay (1998) 'Testing and Modeling Multivariate Threshold Models', Journal of the American Statistical Association, 93: 1188-1202.

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 8)

See Also

ch01data ch02data


FinTS documentation built on May 29, 2017, 9:08 a.m.