• FinTS

  • Referenced in 189 articles [sw11125]
  • Companion to Tsay (2005) Analysis of Financial Time Series. R companion to Tsay (2005) Analysis ... Financial Time Series, 2nd ed. (Wiley). Includes data sets, functions and script files required...
  • QRM

  • Referenced in 677 articles [sw11358]
  • aggregation concepts, risk-management techniques for financial econometricians. Material from various chapters could be used ... courses on subjects like multivariate analysis, time series analysis and generalized linear modelling...
  • StFinMetrics

  • Referenced in 34 articles [sw29976]
  • Modeling financial time series with S-Plus. This book can be considered as a users ... statistical analysis and modelling of financial time series. But the book can also be used...
  • timeSeries

  • Referenced in 11 articles [sw17242]
  • Time Series Objects. Environment for teaching ”Financial Engineering and Computational Finance”. Managing financial time series...
  • basta

  • Referenced in 13 articles [sw29265]
  • importance of non-stationary modelling in financial time series. Motivated by this observation, we propose ... auto-regressive conditional heteroscedastic model for financial returns with piecewise constant parameter values. Our method ... analysis of the Financial Times Stock Exchange FTSE 100 index reveals an interesting correspondence between...
  • OxMetrics

  • Referenced in 12 articles [sw00664]
  • econometric analysis of time series, forecasting, financial econometric modelling, or statistical analysis of cross-section...
  • S+FinMetrics

  • Referenced in 7 articles [sw07848]
  • precise, predictive econometric modeling of financial time series. Version 1.0 of the module (which operates...
  • ITSM2000

  • Referenced in 6 articles [sw16941]
  • processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional ... this edition: – A chapter devoted to Financial Time Series – Introductions to Brownian motion, Lévy processes...
  • fUnitRoots

  • Referenced in 5 articles [sw25516]
  • analyzing trends and unit roots in financial time series: (i) functions for the density...
  • RTransferEntropy

  • Referenced in 4 articles [sw29816]
  • Transfer Entropy. Measuring information flow between time series with Shannon and Rényi transfer entropy ... /j.intfin.2014.03.004> for theory and applications to financial time series. Additional references can be found...
  • fArma

  • Referenced in 4 articles [sw09992]
  • package fArma: ARMA Time Series Modelling: Environment for teaching ”Financial Engineering and Computational Finance...
  • imputeFin

  • Referenced in 1 article [sw38295]
  • package imputeFin: Imputation of Financial Time Series with Missing Values and/or Outliers. Missing values often ... occur in financial data due to a variety of reasons (errors in the collection process ... missing values based on modeling the time series with a random walk or an autoregressive ... model log-prices and log-volumes in financial data. In the current version, the imputation...
  • ICLUS

  • Referenced in 1 article [sw02611]
  • achieve satisfactory performance in clustering large time series data sets based on a modest number ... model can be used to cluster financial time series with similar structural patterns. The experiments...
  • ta

  • Referenced in 1 article [sw38199]
  • useful to do feature engineering from financial time series datasets (Open, Close, High, Low, Volume...
  • HMMCont

  • Referenced in 1 article [sw11734]
  • package was created for analyses of financial time series, but can also be applied...
  • partialCI

  • Referenced in 0 articles [sw19747]
  • linear combination of these time series can be found so that the residual spread ... useful in modeling certain sets of financial time series and beyond, as it allows ... with a large-scale empirical application to financial market data. The partialCI package comprises estimation...
  • partialAR

  • Referenced in 0 articles [sw19678]
  • roots. This package fits partially autoregressive time series, where the autoregressive component ... modeling certain financial time series...
  • GAS

  • Referenced in 5 articles [sw17726]
  • models have been recently proposed in time-series econometrics as valuable tools for signal extraction ... prediction. This paper details how financial risk managers can use GAS models for Value...
  • lg

  • Referenced in 2 articles [sw32322]
  • time series data, a test for conditional independence and a test for financial contagion...
  • MATLAB Financial Toolbox

  • Referenced in 4 articles [sw07147]
  • financial data. You can optimize portfolios of financial instruments, optionally taking into account turnover ... rate derivatives, and measure investment performance. Time series analysis functions...