Statistical Analysis of Financial Data in R


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Documentation for package ‘Rsafd’ version 1.2

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Rsafd-package Functions and Data for the book Statistical Analysis of Financial Data in S-Plus
AFT.mat Matrix of Afternoon High Frequency S&P Indices
BASKETBALL Basketball data
bb1.copula Different copula classes
bb2.copula Different copula classes
bb3.copula Different copula classes
bb4.copula Different copula classes
bb5.copula Different copula classes
bb6.copula Different copula classes
bb7.copula Different copula classes
BCofLRet Coffee log-returns
block.max BLOCK MAXIMA ESTIMATION
CCofLRet Coffee log-returns
CORNTEMP Corn and Temperature Data
CRUDE Price of future contracts of crude oil
dgev GENERALIZED EXTREME VALUE DISTRIBUTION
dmvnorm Multivariate Normal (Gaussian) distribution
DUKE.index Utilities Indexes
eda.shape Empirical Data Analysis
ENRON.index Utilities Indexes
fit.copula Maximum Likelihood Fit of a Copula
frank.copula Different copula classes
FRWRD Natural gas forward contracts
galambos.copula Different copula classes
GermanB041700 German Treasury Bonds
gev GENERALIZED EXTREME VALUE DISTRIBUTION
GEYSER ~~ data name/kind ... ~~
gpd.1p CUMULATIVE DISTRIBUTION AND QNTILE FUNCTIONS OF A GPD OBJECT
gpd.1q CUMULATIVE DISTRIBUTION AND QNTILE FUNCTIONS OF A GPD OBJECT
gpd.2p CUMULATIVE DISTRIBUTION AND QNTILE FUNCTIONS OF A GPD OBJECT
gpd.2q CUMULATIVE DISTRIBUTION AND QNTILE FUNCTIONS OF A GPD OBJECT
gpd.cdf CUMULATIVE DISTRIBUTION AND QNTILE FUNCTIONS OF A GPD OBJECT
gpd.tail POT ESTIMATION OF A GENERALIZED PARETO DISTRIBUTION
gumbel.copula Different copula classes
hills Hill races
husler.reiss.copula Different copula classes
joe.copula Different copula classes
Kendalls.tau Compute Kendall's Tau
kimeldorf.sampson.copula Different copula classes
kreg Kernel Regression
MORN.mat Matrix of Morning High Frequency S&P Indices
normal.copula Different copula classes
normal.mix.copula Different copula classes
pgev GENERALIZED EXTREME VALUE DISTRIBUTION
pmvnorm Multivariate Normal (Gaussian) distribution
qgev GENERALIZED EXTREME VALUE DISTRIBUTION
rgev GENERALIZED EXTREME VALUE DISTRIBUTION
rmvnorm Multivariate Normal (Gaussian) distribution
Rsafd Functions and Data for the book Statistical Analysis of Financial Data in S-Plus
shape.plot ESTIMATE OF XI AS FUNCTION OF THE THRESHOLD
Spearmans.rho Compute Spearman's Rho
tailplot GENERALIZED EXTREME VALUE DISTRIBUTION
tawn.copula Different copula classes
TSTSP ~~ data name/kind ... ~~
us.bis.yield US yield data
UTIL.index Utilities Indexes
vw VW_Intraday data