FinTS

FinTS: Companion to Tsay (2005) Analysis of Financial Time Series. R companion to Tsay (2005) Analysis of Financial Time Series, 2nd ed. (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.


References in zbMATH (referenced in 92 articles , 1 standard article )

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  1. Liu, Zhi: Estimating integrated co-volatility with partially miss-ordered high frequency data (2016)
  2. Wang, Xun; Zhang, Zhongzhan; Li, Shoumei: Set-valued and interval-valued stationary time series (2016)
  3. Zhang, Xianyang: White noise testing and model diagnostic checking for functional time series (2016)
  4. Han, Fang; Lu, Huanran; Liu, Han: A direct estimation of high dimensional stationary vector autoregressions (2015)
  5. Rodríguez, Jhan; Bárdossy, András: Entropy measure for the quantification of upper quantile interdependence in multivariate distributions (2015)
  6. Zhu, Ke; Li, Wai Keung: A bootstrapped spectral test for adequacy in weak ARMA models (2015)
  7. Choi, Hyunhee; Kang, Moonsu: Optimal sampling frequency for high frequency data using a finite mixture model (2014)
  8. Durante, Daniele; Dunson, David B.: Bayesian dynamic financial networks with time-varying predictors (2014)
  9. Marszałek, A.; Burczyński, T.: Modeling and forecasting financial time series with ordered fuzzy candlesticks (2014)
  10. O’Malley, D.; Vesselinov, V.V.; Cushman, J.H.: A method for identifying diffusive trajectories with stochastic models (2014)
  11. Zhang, Tao; Zhang, Xingyu; Ma, Yue; Zhou, Xiaohua Andrew; Liu, Yuanyuan; Feng, Zijian; Li, Xiaosong: Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease (2014)
  12. Daouia, Abdelaati; Gardes, Laurent; Girard, Stéphane: On kernel smoothing for extremal quantile regression (2013)
  13. Eliazar, Iddo I.; Shlesinger, Michael F.: Fractional motions (2013)
  14. Mandes, Alexandru; Gatu, Cristian; Winker, Peter: Convergence of heuristic-based estimators of the GARCH model (2013)
  15. Ma, Zongming: Sparse principal component analysis and iterative thresholding (2013)
  16. Wang, Lan; Kai, Bo; Heuchenne, Cédric; Tsai, Chih-Ling: Penalized profiled semiparametric estimating functions (2013)
  17. Yusoff, Mohd Izhan Mohd; Mohamed, Ibrahim; Bakar, Mohd Rizam Abu: Improved expectation maximization algorithm for Gaussian mixed model using the kernel method (2013)
  18. Abraham, B.; Balakrishna, N.: Product autoregressive models for non-negative variables (2012)
  19. Dellaportas, Petros; Pourahmadi, Mohsen: Cholesky-GARCH models with applications to finance (2012)
  20. Eliazar, Iddo I.; Shlesinger, Michael F.: Stochastic flow cascades (2012)

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