MFTSR: Modelling Financial Time Series with R
Version 1.0

Companion R package for the book "Modelling Financial Time Series with R".

AuthorEric Zivot
Date of publication2015-07-28 01:12:28
MaintainerEric Zivot <ezviot@uw.edu>
LicenseGPL-2
Version1.0
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("MFTSR", repos="http://R-Forge.R-project.org")

Popular man pages

DFX: Weekly returns on the Dutch Guilder spot exchange rate from...
ewmaVol: Exponentially weighted moving average (EWMA) volatility...
german: Daily log returns on BMW and Siemens stock from January 1973...
highFreq3M: Transactions level data on 3M Corporation stock for December...
hp: Daily returns on HP stock from February 1984 to December 1991
newtaxes: newtaxes
sp500: Daily returns of the S&P 500 Index from January 1928 to...
See all...

All man pages Function index File listing

Man pages

berndt: Monthly returns on 16 assets and risk free rates from January...
black: Monthly returns on 16 assets from January 1983 through...
consump: Annual comsumption data from 1960 to 1995
CPI: Monthly CPI data from January 1913 through November 2001
danish: Daily Danish fire loss data
dellReturns: Daily stock returns of Dell Computer Corporation from October...
dellVolume: Daily trading volume of Dell Computer Corporation stock from...
DFX: Weekly returns on the Dutch Guilder spot exchange rate from...
DJ30: Daily Dow Jones 30 stock price from January 1992 to September...
djia: Daily Dow Jone Industrial Average from January 1915 to...
DOC: Monthly U.S. Department of Commerce data from January 1959 to...
ewmaVol: Exponentially weighted moving average (EWMA) volatility...
excessReturns: Monthly excess returns on Microsoft and S&P 500 from February...
fitted.ewmaVol: fitted.ewmavol()
folio: Weekly returns on 1618 stocks from January 1997 to June 2000
ford: Daily returns on Ford stock from February 1984 to December...
frip: Monthly industrial production of France from January 1960 to...
fwdRate: Monthly forward rates of U.S. coupons from August 1985 to...
german: Daily log returns on BMW and Siemens stock from January 1973...
highFreq3M: Transactions level data on 3M Corporation stock for December...
hp: Daily returns on HP stock from February 1984 to December 1991
import: Monthly Argentinian imports and import taxes from Januaray...
IP: Monthly observations on industrial production growth from...
johansen: Monthly returns on Danish stocks from January 1974 to March...
lexrates: Monthly annual interest rate differential between US and...
maturity: Cooresponding maturity of U.S. zero coupon rates and forward...
msft: Daily open, high, low, close and volume on Microsoft stock...
ndx: Daily open, high, low, close and volume on the NASDAQ 100...
newtaxes: newtaxes
nyse: Daily returns on a value weighted New York Stock Exchange...
policy: Monthly data on U.S. real GDP and the Federal Funds rate from...
pricing: Monthly data on ten size-based portfolios from the Center for...
print.ewmaVol: print.ewmavol()
residuals.ewmaVol: residuals.ewmavol()
rf30: Monthly data on the annual nominal interest rate of the 30...
shiller: Monthly S&P 500 dividend information from 1871 to 2000
shillerAnnual: Yearly S&P 500 dividend information from 1871 to 2000
singleIndex: Monthly closing price on Microsoft and the S&P 500 Index from...
sp: Daily closing price of the S&P 500 Index from January 1960 to...
sp500: Daily returns of the S&P 500 Index from January 1928 to...
stackLoss: stackLoss
stackX: stackX
varex: Monthly data on real stock returns, real interest rates,...
yahoo: Daily open, high, low, close and volume on Yahoo stock for...
zeroRate: Monthly zero coupon rates from August 1985 to February 1991

Functions

Files

DESCRIPTION
NAMESPACE
R
R/data.R
R/ewmaVol.R
R/fittedewmaVol.R
R/printewmaVol.R
R/residualsewmaVol.R
data
data/CPI.rda
data/DFX.rda
data/DJ30.rda
data/DOC.rda
data/IP.rda
data/berndt.rda
data/black.rda
data/consump.rda
data/danish.rda
data/datalist
data/dellReturns.rda
data/dellVolume.rda
data/djia.rda
data/excessReturns.rda
data/folio.rda
data/ford.rda
data/frip.rda
data/fwdRate.rda
data/german.rda
data/highFreq3M.rda
data/hp.rda
data/import.rda
data/johansen.rda
data/lexrates.rda
data/maturity.rda
data/msft.rda
data/ndx.rda
data/newtaxes.rda
data/nyse.rda
data/policy.rda
data/pricing.rda
data/rf30.rda
data/shiller.rda
data/shillerAnnual.rda
data/singleIndex.rda
data/sp.rda
data/sp500.rda
data/stackLoss.rda
data/stackX.rda
data/varex.rda
data/yahoo.rda
data/zeroRate.rda
man
man/CPI.Rd
man/DFX.Rd
man/DJ30.Rd
man/DOC.Rd
man/IP.Rd
man/berndt.Rd
man/black.Rd
man/consump.Rd
man/danish.Rd
man/dellReturns.Rd
man/dellVolume.Rd
man/djia.Rd
man/ewmaVol.Rd
man/excessReturns.Rd
man/fitted.ewmaVol.Rd
man/folio.Rd
man/ford.Rd
man/frip.Rd
man/fwdRate.Rd
man/german.Rd
man/highFreq3M.Rd
man/hp.Rd
man/import.Rd
man/johansen.Rd
man/lexrates.Rd
man/maturity.Rd
man/msft.Rd
man/ndx.Rd
man/newtaxes.Rd
man/nyse.Rd
man/policy.Rd
man/pricing.Rd
man/print.ewmaVol.Rd
man/residuals.ewmaVol.Rd
man/rf30.Rd
man/shiller.Rd
man/shillerAnnual.Rd
man/singleIndex.Rd
man/sp.Rd
man/sp500.Rd
man/stackLoss.Rd
man/stackX.Rd
man/varex.Rd
man/yahoo.Rd
man/zeroRate.Rd
MFTSR documentation built on May 21, 2017, 1:27 a.m.

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