Companion to Tsay (2005) Analysis of Financial Time Series

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Documentation for package ‘FinTS’ version 0.3-1

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A C D E F I M P Q R S T U W

-- A --

aa.3rv financial time series for Tsay (2005, chapter 11[text])
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 unqique, retaining x as names.
AutocorTest Box-Ljung autocorrelation test

-- C --

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

-- D --

d.3m6203 financial time series for Tsay (2005, chapter 1[text])
d.c8603 financial time series for Tsay (2005, chapter 1[text])
d.cscoy99 financial time series for Tsay (2005, chapter 6[text])
d.fxjp00 financial time series for Tsay (2005, chapter 1[text])
d.hkja financial time series for Tsay (2005, chapter 10[text])
d.ibm6298wmx financial time series for Tsay (2005, chapter 7[text])
d.ibmvwewsp6203 financial time series for Tsay (2005, chapter 1[text])
d.ibmy98 financial time series for Tsay (2005, chapter 6[text])
d.intc7297 financial time series for Tsay (2005, chapter 7[text])
d.intc7303 financial time series for Tsay (2005, chapter 1[text])
d.msft8603 financial time series for Tsay (2005, chapter 1[text])
d.sp8099 financial time series for Tsay (2005, chapter 3[text])
d.sp9003lev financial time series for Tsay (2005, chapter 2[text])
d.spcscointc financial time series for Tsay (2005, chapter 10[text])
day15 financial time series for Tsay (2005, chapter 5[text])

-- E --

exch.perc financial time series for Tsay (2005, chapter 3[text])

-- F --

findConjugates Find complex conjugate pairs
FinTS.stats Financial Time Series summary statistics
FinTS.url List of the names of files downloaded from the "Analysis of Financial Data" web site.

-- I --

ibm financial time series for Tsay (2005, chapter 5[text])
ibm1to5.dur financial time series for Tsay (2005, chapter 5[text])
ibm91.ads financial time series for Tsay (2005, chapter 5[text])
ibm91.adsx financial time series for Tsay (2005, chapter 5[text])
ibm9912.tp financial time series for Tsay (2005, chapter 5[text])
ibmdurad financial time series for Tsay (2005, chapter 5[text])

-- M --

m.3m4603 financial time series for Tsay (2005, chapter 1[text])
m.3m4697 financial time series for Tsay (2005, chapter 2[text])
m.5cln financial time series for Tsay (2005, chapter 9[text])
m.apca0103 financial time series for Tsay (2005, chapter 9[text])
m.barra.9003 financial time series for Tsay (2005, chapter 9[text])
m.bnd financial time series for Tsay (2005, chapter 8[text])
m.c8603 financial time series for Tsay (2005, chapter 1[text])
m.cpice16.dp7503 financial time series for Tsay (2005, chapter 9[text])
m.decile1510 financial time series for Tsay (2005, chapter 2[text])
m.fac9003 financial time series for Tsay (2005, chapter 9[text])
m.fama.bond5203 financial time series for Tsay (2005, chapter 1[text])
m.geln financial time series for Tsay (2005, chapter 12[text])
m.gs1 financial time series for Tsay (2005, chapter 1[text])
m.gs10 financial time series for Tsay (2005, chapter 1[text])
m.gs1n3.5301 financial time series for Tsay (2005, chapter 8[text])
m.gs3 financial time series for Tsay (2005, chapter 1[text])
m.gs5 financial time series for Tsay (2005, chapter 1[text])
m.ibm2697 financial time series for Tsay (2005, chapter 2[text])
m.ibm3dx2603 financial time series for Tsay (2005, chapter 2[text])
m.ibmln2699 financial time series for Tsay (2005, chapter 4[text])
m.ibmsp2699ln financial time series for Tsay (2005, chapter 8[text])
m.ibmspln financial time series for Tsay (2005, chapter 3[text])
m.ibmspln6299 financial time series for Tsay (2005, chapter 12[text])
m.ibmsplnsu financial time series for Tsay (2005, chapter 3[text])
m.ibmvwewsp2603 financial time series for Tsay (2005, chapter 1[text])
m.intc7303 financial time series for Tsay (2005, chapter 1[text])
m.mrk6503 financial time series for Tsay (2005, chapter 10[text])
m.msft8603 financial time series for Tsay (2005, chapter 1[text])
m.pfe6503 financial time series for Tsay (2005, chapter 10[text])
m.sp5.6204 financial time series for Tsay (2005, chapter 12[text])
m.sp6299 financial time series for Tsay (2005, chapter 12[text])
m.unrate financial time series for Tsay (2005, chapter 4[text])
m.vw2697 financial time series for Tsay (2005, chapter 2[text])

-- P --

plot.Acf Autocorrelation Function
plotArmaTrueacf plot the theoretical ACF corresponding to an ARMA model

-- Q --

q.gdp4703 financial time series for Tsay (2005, chapter 2[text])
q.gnp4791 financial time series for Tsay (2005, chapter 2[text])
q.jnj financial time series for Tsay (2005, chapter 2[text])
q.unemrate financial time series for Tsay (2005, chapter 4[text])

-- R --

read.yearmon Reading Monthly zoo Series

-- S --

simple2logReturns compute compound interest
sp500 financial time series for Tsay (2005, chapter 3[text])
sp5may financial time series for Tsay (2005, chapter 8[text])
summary.fHTEST unit root tests

-- T --

Table1.2 financial time series for Tsay (2005, chapter 1[text])
TsayFiles List of the names of files downloaded from the "Analysis of Financial Data" web site.

-- U --

Unitroot unit root tests
url2data Create local copies of files read from urls.

-- W --

w.3mtbs7097 financial time series for Tsay (2005, chapter 4[text])
w.gs1n36299 financial time series for Tsay (2005, chapter 2[text])
w.gs3c financial time series for Tsay (2005, chapter 12[text])
w.gs3n1c financial time series for Tsay (2005, chapter 12[text])
w.tb3ms financial time series for Tsay (2005, chapter 1[text])
w.tb3n6ms financial time series for Tsay (2005, chapter 8[text])
w.tb6ms financial time series for Tsay (2005, chapter 1[text])