FinTS
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swMATH11125CRANFinTSMaRDI QIDQ23075FDOQ23075
Companion to Tsay (2005) Analysis of Financial Time Series
Last update: 26 January 2024
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 0.4-6, 0.1-17, 0.2-4, 0.2-5, 0.2-6, 0.2-7, 0.3-1, 0.3-3, 0.3-6, 0.3-9, 0.4-2, 0.4-3, 0.4-4, 0.4-5, 0.4-6, 0.4-8, 0.4-9
Official website: http://cran.r-project.org/web/packages/FinTS/index.html
Source code repository: https://github.com/cran/FinTS
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.
(only showing first 100 items - show all)
- Robust mean-variance portfolio through the weighted \(L^p\) depth function
- Statistical estimation of operating reserve requirements using rolling horizon stochastic optimization
- Diffusion parameter estimation for the homogenized equation
- Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
- Bayesian dynamic financial networks with time-varying predictors
- Optimal sampling frequency for high frequency data using a finite mixture model
- Jump detection in high-frequency financial data using wavelets
- Bayesian option pricing using mixed normal heteroskedasticity models
- Support vector machine as an efficient framework for stock market volatility forecasting
- Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
- Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality
- Title not available (Why is no real title available?)
- Cholesky-GARCH models with applications to finance
- Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
- Estimating seasonal long-memory processes: a Monte Carlo study
- Robust optimization of mixed CVaR STARR ratio using copulas
- Maturity dispersion, stock auto-correlation, and management strategy in exploited populations
- M-ESTIMATION IN GARCH MODELS
- Robust artificial neural networks for pricing of European options
- A Bayesian regime-switching time-series model
- Time Series
- Detecting the dimensionality for principal components model
- CUSUM control charts for monitoring optimal portfolio weights
- A stochastic program with time series and affine decision rules for the reservoir management problem
- Modeling and forecasting financial time series with ordered fuzzy candlesticks
- Berry-Esseen theorems under weak dependence
- Title not available (Why is no real title available?)
- Simulation Techniques in Financial Risk Management
- Practical Issues in the Analysis of Univariate GARCH Models
- Fast inference methods for high-dimensional factor copulas
- Change-point analysis in increasing dimension
- Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
- Product autoregressive models for non-negative variables
- Jump-detection-based estimation in time-varying coefficient models and empirical applications
- Robust omega ratio optimization using regular vines
- Fuzzy coefficient volatility (FCV) models with applications
- Analysis of financial time series
- A Darling-Erdős type result for stationary ellipsoids
- On first and second order stationarity of random coefficient models
- A method for identifying diffusive trajectories with stochastic models
- Approaches for multi-step density forecasts with application to aggregated wind power
- A genetic estimation algorithm for parameters of stochastic ordinary differential equations
- Maximum likelihood estimation of the double exponential jump-diffusion process
- Title not available (Why is no real title available?)
- Conditioning exceedances on covariate processes
- Kernel estimation for time series: an asymptotic theory
- Modeling the asymmetry of stock movements using price ranges
- Market attention and Bitcoin price modeling: theory, estimation and option pricing
- Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
- The exact Gaussian likelihood estimation of time-dependent VARMA models
- Nonlinear autoregressive conditional duration models for traffic congestion estimation
- Entropy measure for the quantification of upper quantile interdependence in multivariate distributions
- Dependent microstructure noise and integrated volatility estimation from high-frequency data
- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
- Combining estimating functions for volatility
- Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models
- Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
- A novel approach for nonstationary time series analysis with time-invariant correlation coefficient
- A simple R-estimation method for semiparametric duration models
- Penalized profiled semiparametric estimating functions
- Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
- Wavelet-based detection of outliers in financial time series
- Stochastic flow cascades
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
- Title not available (Why is no real title available?)
- Finite element approach to clustering of multidimensional time series
- \(M\)-estimation of linear models with dependent errors
- Factor models for matrix-valued high-dimensional time series
- Quantile regression models with factor‐augmented predictors and information criterion
- Heteroscedasticity and Autocorrelation Robust Structural Change Detection
- Bayesian model selection and statistical modeling.
- Rank determination in tensor factor model
- Time series forecasting with neural network ensembles: an application for exchange rate prediction
- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- Asymptotic spectral theory for nonlinear time series
- The space-fractional Poisson process
- White noise testing and model diagnostic checking for functional time series
- A direct estimation of high dimensional stationary vector autoregressions
- Improved multivariate portmanteau test
- Measuring nonlinear dependence in time-series, a distance correlation approach
- Title not available (Why is no real title available?)
- Volatility modeling with leverage effect under Laplace errors
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
- Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
- The autodependogram: a graphical device to investigate serial dependences
- Conditional VaR estimation using Pearson's type IV distribution
- Bootstrap prediction for returns and volatilities in GARCH models
- Fractional motions
- Analysis of compound bullwhip effect causes
- JMulTi
- Estimation of covariance matrix via the sparse Cholesky factor with lasso
- CAViaR
- OptiRisk
- dynaTree
- GAToolBox
- Separoids
- BayesLogit
- LifeMetrics
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