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.
Cited In (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 that?)
- 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 that?)
- 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
- 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 that?)
- 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 that?)
- Finite element approach to clustering of multidimensional time series
- On conditional covariance modelling: an approach using state space models
- 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
- Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
- 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
- The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
- Nonlinear time series analysis since 1990: Some personal reflections
- 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
- Trading gold future with ARIMA-GARCH model
- On weak invariance principles for partial sums
- Impact of value-at-risk models on market stability
- Modeling financial durations using penalized estimating functions
- 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
- An evaluation of some popular investment strategies under stochastic interest rates
- Bayesian subset selection for threshold autoregressive moving-average models
- On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
- News, volatility and jumps: the case of natural gas futures
- A multivariate descriptor method for change-point detection in nonlinear time series
- Longevity Greeks: what do insurers and capital market investors need to know?
- Matrix exponential stochastic volatility with cross leverage
- Persistent-threshold-GARCH processes: model and application
- Functional prediction of intraday cumulative returns
- A new correlation coefficient for bivariate time-series data
- Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
- Maximum entropy test for autoregressive models
- Modified generalized sample entropy and surrogate data analysis for stock markets
- Nonparametric analysis of the Shenzhen stock market: the day of the week effect
- The interval slope method for long-term forecasting of stock price trends
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