Package: FinTS 0.4-9

Georgi N. Boshnakov

FinTS: Companion to Tsay (2005) Analysis of Financial Time Series

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.

Authors:Spencer Graves [aut], Georgi N. Boshnakov [cre, ctb]

FinTS_0.4-9.tar.gz
FinTS_0.4-9.tar.gz(r-4.5-noble)FinTS_0.4-9.tar.gz(r-4.4-noble)
FinTS_0.4-9.tgz(r-4.4-emscripten)FinTS_0.4-9.tgz(r-4.3-emscripten)
FinTS.pdf |FinTS.html
FinTS/json (API)
NEWS

# Install 'FinTS' in R:
install.packages('FinTS', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/geobosh/fintsdoc/issues

Pkgdown:https://geobosh.github.io

Datasets:

5.73 score 4 stars 6 packages 984 scripts 7.5k downloads 15 exports 2 dependencies

Last updated 11 months agofrom:e72edf553f. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 22 2024
R-4.5-linuxOKDec 22 2024

Exports:AcfapcaArchTestARIMAas.yearmon2AutocorTestcompoundInterestfindConjugatesFinTS.statspackage.dirplotArmaTrueacfread.yearmonrunscriptsimple2logReturnsurl2data

Dependencies:latticezoo

Readme and manuals

Help Manual

Help pageTopics
Companion to Tsay (2005) Analysis of Financial Time SeriesFinTS-package FinTS
Autocorrelation FunctionAcf plot.Acf
Asymptotic PCAapca
ARCH LM TestArchTest
Arima with Ljung-BoxARIMA
Conditionally convert x to yearmon if the conversion is unique, retaining x as names.as.yearmon2
Box-Ljung autocorrelation testAutocorTest
Financial time series for Tsay (2005, ch. 1)ch01data d.3m6203 d.c8603 d.fxjp00 d.ibmvwewsp6203 d.intc7303 d.msft8603 m.3m4603 m.c8603 m.fama.bond5203 m.gs1 m.gs10 m.gs3 m.gs5 m.ibmvwewsp2603 m.intc7303 m.msft8603 Table1.2 w.tb3ms w.tb6ms
Financial time series for Tsay (2005, ch. 2)ch02data d.sp9003lev m.3m4697 m.decile1510 m.ibm2697 m.ibm3dx2603 m.vw2697 q.gdp4703 q.gnp4791 q.jnj w.gs1n36299
Financial time series for Tsay (2005, ch. 3)ch03data d.sp8099 exch.perc m.ibmspln m.ibmsplnsu sp500
Financial time series for Tsay (2005, ch. 4)ch04data m.ibmln2699 m.unrate q.unemrate w.3mtbs7097
Financial time series for Tsay (2005, ch. 5)ch05data day15 day15.ori ibm ibm1to5.dur ibm91.ads ibm91.adsx ibm9912.tp ibmdurad
Financial time series for Tsay (2005, ch. 6)ch06data d.cscoy99 d.ibmy98
Financial time series for Tsay (2005, ch. 7)ch07data d.ibm6298wmx d.intc7297
Financial time series for Tsay (2005, ch. 8)ch08data m.bnd m.gs1n3.5301 m.ibmsp2699ln sp5may w.tb3n6ms
Financial time series for Tsay (2005, ch. 9)ch09data m.5cln m.apca0103 m.barra.9003 m.cpice16.dp7503 m.fac9003
Financial time series for Tsay (2005, ch. 10)ch10data d.hkja d.spcscointc m.mrk6503 m.pfe6503
Financial time series for Tsay (2005, ch. 11)aa.3rv ch11data
Financial time series for Tsay (2005, ch. 12)ch12data m.geln m.ibmspln6299 m.sp5.6204 m.sp6299 w.gs3c w.gs3n1c
Compute compound interestcompoundInterest simple2logReturns
Find complex conjugate pairsfindConjugates
Financial Time Series summary statisticsFinTS.stats
Directory of a packagepackage.dir
Plot loadingsplot.loadings
Plot the theoretical ACF corresponding to an ARMA modelplotArmaTrueacf
Reading Monthly zoo Seriesread.yearmon
Run a package scriptrunscript
List of the names of files downloaded from the "Analysis of Financial Data" web site.FinTS.url TsayFiles
Create local copies of files read from urlsurl2data