FinTS-package {FinTS}

Companion to Tsay (2005) Analysis of Financial Time Series

Description

R companion to Tsay (2005) Analysis of Financial Time Series, second edition (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.

Details

Index:

ARIMA                   Arima with Ljung-Box
Acf                     Autocorrelation Function
ArchTest                ARCH LM Test
AutocorTest             Box-Ljung autocorrelation test
FinTS-package           Companion to Tsay (2005) Analysis of Financial
                        Time Series
FinTS.stats             Financial Time Series summary statistics
TsayFiles               List of the names of files downloaded from the
                        "Analysis of Financial Data" web site.
apca                    Asymptotic PCA
as.yearmon2             Conditionally convert x to yearmon if the
                        conversion is unique, retaining x as names.
ch01data                Financial time series for Tsay (2005, ch. 1)
ch02data                Financial time series for Tsay (2005, ch. 2)
ch03data                Financial time series for Tsay (2005, ch. 3)
ch04data                Financial time series for Tsay (2005, ch. 4)
ch05data                Financial time series for Tsay (2005, ch. 5)
ch06data                Financial time series for Tsay (2005, ch. 6)
ch07data                Financial time series for Tsay (2005, ch. 7)
ch08data                Financial time series for Tsay (2005, ch. 8)
ch09data                Financial time series for Tsay (2005, ch. 9)
ch10data                Financial time series for Tsay (2005, ch. 10)
ch11data                Financial time series for Tsay (2005, ch. 11)
ch12data                Financial time series for Tsay (2005, ch. 12)
compoundInterest        Compute compound interest
findConjugates          Find complex conjugate pairs
package.dir             Directory of a package
plot.loadings           Plot loadings
plotArmaTrueacf         Plot the theoretical ACF corresponding to an
                        ARMA model
read.yearmon            Reading Monthly zoo Series
runscript               Run a package script
url2data                Create local copies of files read from urls

See the scripts subdirectory of the FinTS installation directory = system.file(package='FinTS').

Corrections to the script files provided and contributions to script files for other chapters will be graciously accepted.

Author(s)

Spencer Graves

Maintainer: Georgi N. Boshnakov <[e-mail]>

References

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

See Also

https://faculty.chicagobooth.edu/ruey-s-tsay/teaching

Examples

# Where is the 'FinTS' directory?
system.file(package='FinTS')

# View the script file 'ch01.R', which is in the 'scripts'
# subdirectory of the system.file(package='FinTS') directory:
runscript(1, 'view')

# SP statistics in Table 1.2 of Tsay
data(d.ibmvwewsp6203)
FinTS.stats(100*d.ibmvwewsp6203[, "SP"])