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)

• \(M\)-estimation of linear models with dependent errors
• 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
• Factor models for matrix-valued high-dimensional time series
• Support vector machine as an efficient framework for stock market volatility forecasting
• Quantile regression models with factor‐augmented predictors and information criterion
• Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality
• Heteroscedasticity and Autocorrelation Robust Structural Change Detection
• Title not available (Why is that?)
• Rank determination in tensor factor model
• Time series forecasting with neural network ensembles: an application for exchange rate prediction
• M-ESTIMATION IN GARCH MODELS
• 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
• A Bayesian regime-switching time-series model
• Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
• White noise testing and model diagnostic checking for functional time series
• Finite Element Approach to Clustering of Multidimensional Time Series
• A direct estimation of high dimensional stationary vector autoregressions
• CUSUM control charts for monitoring optimal portfolio weights
• Improved multivariate portmanteau test
• Measuring nonlinear dependence in time-series, a distance correlation approach
• Practical Issues in the Analysis of Univariate GARCH Models
• Title not available (Why is that?)
• Volatility modeling with leverage effect under Laplace errors
• Change-point analysis in increasing dimension
• Estimating integrated co-volatility with partially miss-ordered high frequency data
• Modelling the Dynamic Dependence Structure in Multivariate Financial Time Series
• Product autoregressive models for non-negative variables
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Volatility forecasting using threshold heteroskedastic models of the intra-day range
• Fuzzy coefficient volatility (FCV) models with applications
• 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
• Approaches for multi-step density forecasts with application to aggregated wind power
• Estimation of covariance matrix via the sparse Cholesky factor with lasso
• Applied Econometrics with R
• Maximum likelihood estimation of the double exponential jump-diffusion process
• Title not available (Why is that?)
• On kernel smoothing for extremal quantile regression
• Kernel estimation for time series: an asymptotic theory
• Particle filters and Bayesian inference in financial econometrics
• WaveletML
• CEEMDANML
• AriGaMyANNSVR
• Detecting the Dimensionality for Principal Components Model
• Inference for functional data with applications
• Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use
• On a mixture vector autoregressive model
• Sparse moving maxima models for tail dependence in multivariate financial time series
• Factor Models for High-Dimensional Tensor Time Series
• Delay times of sequential procedures for multiple time series regression models
• Entropy measure for the quantification of upper quantile interdependence in multivariate distributions
• Fitting an error distribution in some heteroscedastic time series models
• The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
• 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
• Sparse principal component analysis and iterative thresholding
• WaveletGARCH
• Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
• A novel approach for nonstationary time series analysis with time-invariant correlation coefficient
• A bootstrapped spectral test for adequacy in weak ARMA models
• Theory and inference for a Markov switching GARCH model
• 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
• Bayesian Model Selection and Statistical Modeling
• Subset selection for vector autoregressive processes using Lasso
• Break detection in the covariance structure of multivariate time series models
• Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
• Negative volatility spillovers in the unrestricted ECCC-GARCH model
• Title not available (Why is that?)
• ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
• 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

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