FinTS
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Description
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.
Cited in
(only showing first 100 items - show all)- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- Persistent-threshold-GARCH processes: model and application
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
- Subset selection for vector autoregressive processes using Lasso
- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
- Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
- Break detection in the covariance structure of multivariate time series models
- A robust algorithm for parameter estimation in smooth transition autoregressive models
- JMulTi
- QuantGAN
- WaveletGARCH
- Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
- Modeling financial durations using penalized estimating functions
- Bayesian option pricing using mixed normal heteroskedasticity models
- Robust optimization of mixed CVaR STARR ratio using copulas
- Impact of value-at-risk models on market stability
- On conditional covariance modelling: an approach using state space models
- Matrix exponential stochastic volatility with cross leverage
- The exact Gaussian likelihood estimation of time-dependent VARMA models
- CAViaR
- Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
- Volatility modeling with leverage effect under Laplace errors
- A novel approach for nonstationary time series analysis with time-invariant correlation coefficient
- Quantile forecasts for financial volatilities based on parametric and asymmetric models
- Optimal shrinkage estimator for high-dimensional mean vector
- When panic makes you blind: a chaotic route to systemic risk
- Factor models for matrix-valued high-dimensional time series
- Liquidity tail risk and credit default swap spreads
- On the risk prediction and analysis of soft information in finance reports
- A study on modeling the dynamics of statistically dependent returns
- A new correlation coefficient for bivariate time-series data
- Race, gender and the econophysics of income distribution in the USA
- A successive linear programming algorithm with non-linear time series for the reservoir management problem
- The interval slope method for long-term forecasting of stock price trends
- OptiRisk
- Nonlinear time series analysis since 1990: Some personal reflections
- Var methods for the dynamic impawn rate of steel in inventory financing under autocorrelative return
- Nonparametric analysis of the Shenzhen stock market: the day of the week effect
- Sparse moving maxima models for tail dependence in multivariate financial time series
- dynaTree
- An interpretable model for short term traffic flow prediction
- Forecasting of global market prices of major financial instruments
- Bayesian model calibration and optimization of surfactant-polymer flooding
- Robust omega ratio optimization using regular vines
- Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
- GAToolBox
- Separoids
- Fast inference methods for high-dimensional factor copulas
- Analysis of autocorrelation function of stochastic processes by F-transform of higher degree
- A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks
- High dimensional generalized linear models for temporal dependent data
- BayesLogit
- Rank determination in tensor factor model
- Mixed value-at-risk and its numerical investigation
- Permutation entropy analysis based on Gini-Simpson index for financial time series
- Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model
- Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump
- Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- Generalized autoregressive conditional heteroskedastic model to examine silver price volatility and its macroeconomic determinant in Ethiopia market
- Improving forecasts of the EGARCH model using artificial neural network and fuzzy inference system
- Modified generalized sample entropy and surrogate data analysis for stock markets
- A simple R-estimation method for semiparametric duration models
- On a constrained mixture vector autoregressive model
- An evaluation of some popular investment strategies under stochastic interest rates
- Modeling volatility using state space models with heavy tailed distributions
- A test for strict stationarity in a random coefficient autoregressive model of order 1
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- LifeMetrics
- CUSUM control charts for monitoring optimal portfolio weights
- The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
- Fast robust methods for singular state-space models
- Designing fuzzy time series forecasting models: a survey
- astsa
- bvarsv
- Nudging the particle filter
- itsmr
- longmemo
- The least-squares criteria of the random coefficient dynamic regression model
- A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
- YUIMA
- Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease
- Bayesian analysis of multiple thresholds autoregressive model
- TSA
- A two-asset stochastic model for long-term portfolio selection
- Jump-detection-based estimation in time-varying coefficient models and empirical applications
- On weak invariance principles for partial sums
- tsDyn
- On kernel smoothing for extremal quantile regression
- WeightedPortTest
- A Darling-Erdős type result for stationary ellipsoids
- Wavelet-based detection of outliers in financial time series
- Asymptotic spectral theory for nonlinear time series
- Support vector machine as an efficient framework for stock market volatility forecasting
- Fuzzy coefficient volatility (FCV) models with applications
- Fitting an error distribution in some heteroscedastic time series models
- DerivaGem
- Bayesian subset selection for threshold autoregressive moving-average models
- Rugarch
- AS 311
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