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)- Random aggregation with applications in high-frequency finance
- Finite element approach to clustering of multidimensional time series
- Robust mean-variance portfolio through the weighted L^p depth function
- Statistical estimation of operating reserve requirements using rolling horizon stochastic optimization
- Testing for trends in high-dimensional time series
- The least-squares criteria of the random coefficient dynamic regression model
- \(M\)-estimation of linear models with dependent errors
- Forecasting trade durations via ACD models with mixture distributions
- On conditional covariance modelling: an approach using state space models
- The probabilistic support Kendall correlation and its transitivity properties
- Diffusion parameter estimation for the homogenized equation
- Bayesian dynamic financial networks with time-varying predictors
- Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
- Optimal sampling frequency for high frequency data using a finite mixture model
- Var methods for the dynamic impawn rate of steel in inventory financing under autocorrelative return
- Nudging the particle filter
- Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump
- Quantile forecasts for financial volatilities based on parametric and asymmetric models
- Factor models for matrix-valued high-dimensional time series
- Analysis of autocorrelation function of stochastic processes by F-transform of higher degree
- 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
- A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks
- Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
- Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality
- Support vector machine as an efficient framework for stock market volatility forecasting
- Jump detection in high-frequency financial data using wavelets
- Nonlinear time series analysis since 1990: Some personal reflections
- Quantile regression models with factor‐augmented predictors and information criterion
- Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes
- Optimal shrinkage estimator for high-dimensional mean vector
- When panic makes you blind: a chaotic route to systemic risk
- A state space model approach for HIV infection dynamics
- Inferences in stochastic volatility models: a new simpler way
- Heteroscedasticity and Autocorrelation Robust Structural Change Detection
- Cholesky-GARCH models with applications to finance
- High dimensional generalized linear models for temporal dependent data
- scientific article; zbMATH DE number 2199133 (Why is no real title available?)
- A successive linear programming algorithm with non-linear time series for the reservoir management problem
- Set-valued and interval-valued stationary time series
- Modeling Hong Kong's stock index with the Student \(t\)-mixture autoregressive model
- On weak invariance principles for partial sums
- Impact of value-at-risk models on market stability
- Trading gold future with ARIMA-GARCH model
- Modeling financial durations using penalized estimating functions
- Rank determination in tensor factor model
- Liquidity tail risk and credit default swap spreads
- On the risk prediction and analysis of soft information in finance reports
- Bayesian model selection and statistical modeling.
- Estimating seasonal long-memory processes: a Monte Carlo study
- Forecasting of global market prices of major financial instruments
- Robust optimization of mixed CVaR STARR ratio using copulas
- On a constrained mixture vector autoregressive model
- Maturity dispersion, stock auto-correlation, and management strategy in exploited populations
- Quasi-maximum likelihood estimation of GARCH models in the presence of missing values
- An evaluation of some popular investment strategies under stochastic interest rates
- Estimating a covariance matrix for market risk management and the case of credit default swaps
- Bayesian subset selection for threshold autoregressive moving-average models
- M-ESTIMATION IN GARCH MODELS
- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- Time series forecasting with neural network ensembles: an application for exchange rate prediction
- scientific article; zbMATH DE number 5002328 (Why is no real title available?)
- The space-fractional Poisson process
- Robust artificial neural networks for pricing of European options
- Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease
- Asymptotic spectral theory for nonlinear time series
- Simple nonlinear models with rigorous extreme events and heavy tails
- Numerical characteristics and parameter estimation of finite mixed generalized normal distribution
- Forecasting market states
- On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
- A Bayesian regime-switching time-series model
- White noise testing and model diagnostic checking for functional time series
- A test for strict stationarity in a random coefficient autoregressive model of order 1
- 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
- News, volatility and jumps: the case of natural gas futures
- Detecting the dimensionality for principal components model
- A direct estimation of high dimensional stationary vector autoregressions
- CUSUM control charts for monitoring optimal portfolio weights
- Signal Decomposition Using Masked Proximal Operators
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- Improved multivariate portmanteau test
- Measuring nonlinear dependence in time-series, a distance correlation approach
- scientific article; zbMATH DE number 2042816 (Why is no real title available?)
- Fast inference methods for high-dimensional factor copulas
- Simulation Techniques in Financial Risk Management
- Practical Issues in the Analysis of Univariate GARCH Models
- A cointegration analysis of crime, economic activity, and police performance in São Paulo city
- Change-point analysis in increasing dimension
- Volatility modeling with leverage effect under Laplace errors
- Estimating integrated co-volatility with partially miss-ordered high frequency data
- scientific article; zbMATH DE number 2243787 (Why is no real title available?)
- New extreme value theory for maxima of maxima
- A multivariate descriptor method for change-point detection in nonlinear time series
- Matrix exponential stochastic volatility with cross leverage
- Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
- Longevity Greeks: what do insurers and capital market investors need to know?
- Product autoregressive models for non-negative variables
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