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 119 articles , 1 standard article )

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  1. Jiang, Zhengjun; Xia, Weixuan: Volatility modeling with leverage effect under Laplace errors (2018)
  2. Jirak, Moritz: On weak invariance principles for partial sums (2017)
  3. Pan, Jiazhu; Xia, Qiang; Liu, Jinshan: Bayesian analysis of multiple thresholds autoregressive model (2017)
  4. Zhao, Yan-Yong; Lin, Jin-Guan; Wang, Hong-Xia; Huang, Xing-Fang: Jump-detection-based estimation in time-varying coefficient models and empirical applications (2017)
  5. Duchesne, Pierre; Hong, Yongmiao: On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators (2016)
  6. Jirak, Moritz: Berry-Esseen theorems under weak dependence (2016)
  7. Liu, Zhi: Estimating integrated co-volatility with partially miss-ordered high frequency data (2016)
  8. Wang, Xun; Zhang, Zhongzhan; Li, Shoumei: Set-valued and interval-valued stationary time series (2016)
  9. Xia, Qiang; Wong, Heung: Identification of threshold autoregressive moving average models (2016)
  10. Zhang, Xianyang: White noise testing and model diagnostic checking for functional time series (2016)
  11. Han, Fang; Lu, Huanran; Liu, Han: A direct estimation of high dimensional stationary vector autoregressions (2015)
  12. Rodríguez, Jhan; Bárdossy, András: Entropy measure for the quantification of upper quantile interdependence in multivariate distributions (2015)
  13. Yang, Ge; Wang, Jun; Fang, Wen: Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems (2015)
  14. Zhu, Ke; Li, Wai Keung: A bootstrapped spectral test for adequacy in weak ARMA models (2015)
  15. Choi, Hyunhee; Kang, Moonsu: Optimal sampling frequency for high frequency data using a finite mixture model (2014)
  16. Durante, Daniele; Dunson, David B.: Bayesian dynamic financial networks with time-varying predictors (2014)
  17. Marszałek, A.; Burczyński, T.: Modeling and forecasting financial time series with ordered fuzzy candlesticks (2014)
  18. O’Malley, D.; Vesselinov, V.V.; Cushman, J.H.: A method for identifying diffusive trajectories with stochastic models (2014)
  19. 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)
  20. Daouia, Abdelaati; Gardes, Laurent; Girard, Stéphane: On kernel smoothing for extremal quantile regression (2013)

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