Function reference • FinTS

Overview of package FinTS

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

Datasets, arranged by chapter

d.ibmvwewsp6203 d.intc7303 d.3m6203 d.msft8603 d.c8603 m.ibmvwewsp2603 m.intc7303 m.3m4603 m.msft8603 m.c8603 m.gs10 m.gs1 d.fxjp00 m.fama.bond5203 m.gs3 m.gs5 w.tb3ms w.tb6ms: Financial time series for Tsay (2005, ch. 1)

m.ibm2697 m.vw2697 q.gnp4791 m.ibm3dx2603 m.3m4697 q.gdp4703 d.sp9003lev q.jnj m.decile1510 w.gs1n36299: Financial time series for Tsay (2005, ch. 2)

exch.perc sp500 m.ibmspln m.ibmsplnsu d.sp8099: Financial time series for Tsay (2005, ch. 3)

m.unrate w.3mtbs7097 m.ibmln2699 q.unemrate: Financial time series for Tsay (2005, ch. 4)

ibm ibm9912.tp ibmdurad ibm1to5.dur ibm91.ads ibm91.adsx day15.ori day15: Financial time series for Tsay (2005, ch. 5)

d.ibmy98 d.cscoy99: Financial time series for Tsay (2005, ch. 6)

d.ibm6298wmx d.intc7297: Financial time series for Tsay (2005, ch. 7)

m.ibmsp2699ln m.bnd m.gs1n3.5301 w.tb3n6ms sp5may: Financial time series for Tsay (2005, ch. 8)

m.fac9003 m.cpice16.dp7503 m.barra.9003 m.5cln m.apca0103: Financial time series for Tsay (2005, ch. 9)

d.hkja m.pfe6503 m.mrk6503 d.spcscointc: Financial time series for Tsay (2005, ch. 10)

aa.3rv: Financial time series for Tsay (2005, ch. 11)

w.gs3n1c w.gs3c m.sp6299 m.ibmspln6299 m.sp5.6204 m.geln: Financial time series for Tsay (2005, ch. 12)

ARIMA and autocorrelations

ARIMA(): Arima with Ljung-Box

Acf() plot(<Acf>): Autocorrelation Function

AutocorTest(): Box-Ljung autocorrelation test

plotArmaTrueacf(): Plot the theoretical ACF corresponding to an ARMA model

Financial statistics and utilities

ArchTest(): ARCH LM Test

FinTS.stats(): Financial Time Series summary statistics

compoundInterest() simple2logReturns(): Compute compound interest

Other statistics

apca(): Asymptotic PCA

plot(<loadings>): Plot loadings

Other

TsayFiles: List of the names of files downloaded from the "Analysis of Financial Data" web site.

read.yearmon(): Reading Monthly zoo Series

as.yearmon2(): Conditionally convert x to yearmon if the conversion is unique, retaining x as names.

findConjugates(): Find complex conjugate pairs

url2data(): Create local copies of files read from urls

package.dir(): Directory of a package

runscript(): Run a package script