Companion to Tsay (2005) Analysis of Financial Time Series

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Documentation for package ‘FinTS’ version 0.4-7

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

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

-- A --

aa.3rv Financial time series for Tsay (2005, ch. 11)
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 unique, retaining x as names.
AutocorTest Box-Ljung autocorrelation test

-- C --

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

-- D --

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

-- E --

exch.perc Financial time series for Tsay (2005, ch. 3)

-- F --

findConjugates Find complex conjugate pairs
FinTS Companion to Tsay (2005) Analysis of Financial Time Series
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, ch. 5)
ibm1to5.dur Financial time series for Tsay (2005, ch. 5)
ibm91.ads Financial time series for Tsay (2005, ch. 5)
ibm91.adsx Financial time series for Tsay (2005, ch. 5)
ibm9912.tp Financial time series for Tsay (2005, ch. 5)
ibmdurad Financial time series for Tsay (2005, ch. 5)

-- M --

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

-- P --

package.dir Directory of a package
plot.Acf Autocorrelation Function
plot.loadings Plot loadings
plotArmaTrueacf Plot the theoretical ACF corresponding to an ARMA model

-- Q --

q.gdp4703 Financial time series for Tsay (2005, ch. 2)
q.gnp4791 Financial time series for Tsay (2005, ch. 2)
q.jnj Financial time series for Tsay (2005, ch. 2)
q.unemrate Financial time series for Tsay (2005, ch. 4)

-- R --

read.yearmon Reading Monthly zoo Series
runscript Run a package script

-- S --

simple2logReturns Compute compound interest
sp500 Financial time series for Tsay (2005, ch. 3)
sp5may Financial time series for Tsay (2005, ch. 8)

-- T --

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

-- U --

url2data Create local copies of files read from urls

-- W --

w.3mtbs7097 Financial time series for Tsay (2005, ch. 4)
w.gs1n36299 Financial time series for Tsay (2005, ch. 2)
w.gs3c Financial time series for Tsay (2005, ch. 12)
w.gs3n1c Financial time series for Tsay (2005, ch. 12)
w.tb3ms Financial time series for Tsay (2005, ch. 1)
w.tb3n6ms Financial time series for Tsay (2005, ch. 8)
w.tb6ms Financial time series for Tsay (2005, ch. 1)