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 publication2014-03-27 00:41:33
MaintainerSpencer Graves <spencer.graves@prodsyse.com>
LicenseGPL (>= 2)
Version0.4-5
http://faculty.chicagobooth.edu/ruey.tsay/teaching/bs41202/sp2009

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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.

Functions

aa.3rv Man page
Acf Man page
apca Man page
ArchTest Man page
ARIMA Man page
as.yearmon2 Man page
AutocorTest Man page
ch01data Man page
ch02data Man page
ch03data Man page
ch04data Man page
ch05data Man page
ch06data Man page
ch07data Man page
ch08data Man page
ch09data Man page
ch10data Man page
ch11data Man page
ch12data Man page
compoundInterest Man page
d.3m6203 Man page
day15 Man page
day15.ori Man page
d.c8603 Man page
d.cscoy99 Man page
d.fxjp00 Man page
d.hkja Man page
d.ibm6298wmx Man page
d.ibmvwewsp6203 Man page
d.ibmy98 Man page
d.intc7297 Man page
d.intc7303 Man page
d.msft8603 Man page
d.sp8099 Man page
d.sp9003lev Man page
d.spcscointc Man page
exch.perc Man page
findConjugates Man page
FinTS Man page
FinTS-package Man page
FinTS.stats Man page
FinTS.url Man page
ibm Man page
ibm1to5.dur Man page
ibm91.ads Man page
ibm91.adsx Man page
ibm9912.tp Man page
ibmdurad Man page
m.3m4603 Man page
m.3m4697 Man page
m.5cln Man page
m.apca0103 Man page
m.barra.9003 Man page
m.bnd Man page
m.c8603 Man page
m.cpice16.dp7503 Man page
m.decile1510 Man page
m.fac9003 Man page
m.fama.bond5203 Man page
m.geln Man page
m.gs1 Man page
m.gs10 Man page
m.gs1n3.5301 Man page
m.gs3 Man page
m.gs5 Man page
m.ibm2697 Man page
m.ibm3dx2603 Man page
m.ibmln2699 Man page
m.ibmsp2699 Man page
m.ibmsp2699ln Man page
m.ibmspln Man page
m.ibmspln6299 Man page
m.ibmsplnsu Man page
m.ibmvwewsp2603 Man page
m.intc7303 Man page
m.mrk6503 Man page
m.msft8603 Man page
m.pfe6503 Man page
m.sp5.6204 Man page
m.sp6299 Man page
m.unrate Man page
m.vw2697 Man page
package.dir Man page
plot.Acf Man page
plotArmaTrueacf Man page
plot.loadings Man page
q.gdp4703 Man page
q.gnp4791 Man page
q.jnj Man page
q.unemrate Man page
read.yearmon Man page
runscript Man page
simple2logReturns Man page
sp500 Man page
sp5may Man page
summary.fHTEST Man page
Table1.2 Man page
TsayFiles Man page
Unitroot Man page
url2data Man page
w.3mtbs7097 Man page
w.gs1n36299 Man page
w.gs3c Man page
w.gs3n1c Man page
w.tb3ms Man page
w.tb3n6ms Man page
w.tb6ms Man page

Files

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

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