FinTS

swMATH11125CRANFinTSMaRDI QIDQ23075FDOQ23075

Companion to Tsay (2005) Analysis of Financial Time Series

Spencer Graves

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

Source code repository: https://github.com/cran/FinTS

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.

Described by source

• Analysis of Financial Time Series

Cited In (only showing first 100 items - show all)

• The least-squares criteria of the random coefficient dynamic regression model
• Nudging the particle filter
• Var methods for the dynamic impawn rate of steel in inventory financing under autocorrelative return
• Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump
• Quantile forecasts for financial volatilities based on parametric and asymmetric models
• 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
• Nonlinear time series analysis since 1990: Some personal reflections
• Set-valued and interval-valued stationary time series
• Optimal shrinkage estimator for high-dimensional mean vector
• When panic makes you blind: a chaotic route to systemic risk
• High dimensional generalized linear models for temporal dependent data
• A successive linear programming algorithm with non-linear time series for the reservoir management problem
• Liquidity tail risk and credit default swap spreads
• On the risk prediction and analysis of soft information in finance reports
• Forecasting of global market prices of major financial instruments
• On a constrained mixture vector autoregressive model
• An evaluation of some popular investment strategies under stochastic interest rates
• Bayesian subset selection for threshold autoregressive moving-average models
• Forecasting market states
• A test for strict stationarity in a random coefficient autoregressive model of order 1
• News, volatility and jumps: the case of natural gas futures
• Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
• 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
• Estimation of Graphical Models through Structured Norm Minimization
• Central limit theorems for reduced \(U\)-statistics under dependence and their usefulness
• Functional prediction of intraday cumulative returns
• A new correlation coefficient for bivariate time-series data
• Modeling volatility using state space models with heavy tailed distributions
• Nonparametric analysis of the Shenzhen stock market: the day of the week effect
• Inferences in Stochastic Volatility Models: A New Simpler Way
• Fast robust methods for singular state-space models
• The interval slope method for long-term forecasting of stock price trends
• Designing fuzzy time series forecasting models: a survey
• Bayesian model calibration and optimization of surfactant-polymer flooding
• Race, gender and the econophysics of income distribution in the USA
• Scalable inference for a full multivariate stochastic volatility model
• Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis
• An interpretable model for short term traffic flow prediction
• Inference for non-stationary time-series autoregression
• Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
• Title not available (Why is that?)
• A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
• Generalized autoregressive conditional heteroskedastic model to examine silver price volatility and its macroeconomic determinant in Ethiopia market
• A Bayesian encompassing test using combined value-at-risk estimates
• Bayesian analysis of multiple thresholds autoregressive model
• Improving forecasts of the EGARCH model using artificial neural network and fuzzy inference system
• Estimating Oil Price Value at Risk Using Belief Functions
• Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?
• Robust mean-variance portfolio through the weighted \(L^p\) depth function
• Statistical estimation of operating reserve requirements using rolling horizon stochastic optimization
• On conditional covariance modelling: an approach using state space models
• Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
• Jump detection in high-frequency financial data using wavelets
• Bayesian option pricing using mixed normal heteroskedasticity models
• The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
• Modeling the Asymmetry of Stock Movements Using Price Ranges
• Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
• Title not available (Why is that?)
• Cholesky-GARCH models with applications to finance
• On weak invariance principles for partial sums
• Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
• Impact of value-at-risk models on market stability
• Estimating seasonal long-memory processes: a Monte Carlo study
• Modeling financial durations using penalized estimating functions
• Robust optimization of mixed CVaR STARR ratio using copulas
• Maturity dispersion, stock auto-correlation, and management strategy in exploited populations
• Robust artificial neural networks for pricing of European options
• Time Series
• 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 that?)
• Simulation Techniques in Financial Risk Management
• Fast inference methods for high-dimensional factor copulas
• A multivariate descriptor method for change-point detection in nonlinear time series
• Matrix exponential stochastic volatility with cross leverage
• Jump-detection-based estimation in time-varying coefficient models and empirical applications
• Robust omega ratio optimization using regular vines
• Persistent-threshold-GARCH processes: model and application
• 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
• Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
• A genetic estimation algorithm for parameters of stochastic ordinary differential equations
• Modified generalized sample entropy and surrogate data analysis for stock markets
• Conditioning exceedances on covariate processes
• Testing for Trends in High-Dimensional Time Series
• Diffusion Parameter Estimation for the Homogenized Equation
• Market attention and Bitcoin price modeling: theory, estimation and option pricing
• A study on modeling the dynamics of statistically dependent returns
• A robust algorithm for parameter estimation in smooth transition autoregressive models
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• Nonlinear autoregressive conditional duration models for traffic congestion estimation
• Dependent microstructure noise and integrated volatility estimation from high-frequency data
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
• Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems
• On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
• Combining estimating functions for volatility

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