timeSeries

MaRDI QIDQ29103swMATHCRANWikidataFDO

Authors Georgi N. Boshnakov, Diethelm Wuertz, Tobias Setz, Yohan Chalabi

Last update 14 January 2024

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 4021.105, 4030.106, 280.75, 280.77, 280.78, 290.79, 290.80, 290.81, 2100.82, 2100.83, 2100.84, 2110.85, 2110.86, 2110.87, 2120.88, 2120.89, 2130.90, 2130.91, 2130.92, 2160.93, 2160.94, 2160.95, 3000.96, 3010.97, 3011.98, 3012.99, 3022.101.1, 3022.101.2, 3022.101, 3042.102, 3062.100, 4021.104, 4031.107, 4032.108, 4032.109

Official website https://cran.r-project.org/web/packages/timeSeries/index.html

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

Description

'S4' classes and various tools for financial time series: Basic functions such as scaling and sorting, subsetting, mathematical operations and statistical functions.

Cited in

(43)

• Statistical arbitrage with vine copulas
• An overview of nonparametric tests of extreme-value dependence and of some related statistical procedures
• Exploring, handling, imputing and evaluating missing data in statistical analyses: a review of existing approaches
• Simulation and Inference for Stochastic Processes with YUIMA
• Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
• fBasics
• sandwich
• tseries
• timeDate
• urca
• fExoticOptions
• fGarch
• TTR
• xts
• QRM
• fExtremes
• seasonal
• ctv
• FRAPO
• cccp
• uroot
• fCopulae
• fUnitRoots
• Mcomp
• COGARCH.rm
• xlsx
• RTransferEntropy
• fPortfolio
• fAssets
• fNonlinear
• RMOPI
• fImport
• ATAforecasting
• pathlit
• BLCOP
• NlinTS
• iClick
• fTrading
• tframePlus
• NlinTS
• BayesianFactorZoo
• Specification testing in nonparametric AR‐ARCH models
• Financial risk modelling and portfolio optimization with R

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