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 198 articles , 1 standard article )

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  1. Arias-Calluari, Karina; Najafi, Morteza. N.; Harré, Michael S.; Tang, Yaoyue; Alonso-Marroquin, Fernando: Testing stationarity of the detrended price return in stock markets (2022)
  2. Han, Yuefeng; Chen, Rong; Zhang, Cun-Hui: Rank determination in tensor factor model (2022)
  3. Figá-Talamanca, Gianna; Focardi, Sergio; Patacca, Marco: Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages (2021)
  4. Gangammanavar, Harsha; Liu, Yifan; Sen, Suvrajeet: Stochastic decomposition for two-stage stochastic linear programs with random cost coefficients (2021)
  5. Goel, Anubha; Mehra, Aparna: Robust omega ratio optimization using regular vines (2021)
  6. Trapani, Lorenzo: A test for strict stationarity in a random coefficient autoregressive model of order 1 (2021)
  7. Zhang, Danna; Wu, Wei Biao: Convergence of covariance and spectral density estimates for high-dimensional locally stationary processes (2021)
  8. Zhou, Kenneth Q.; Li, Johnny Siu-Hang: Longevity Greeks: what do insurers and capital market investors need to know? (2021)
  9. Akyildiz, Ömer Deniz; Míguez, Joaquín: Nudging the particle filter (2020)
  10. Ataei, Masoud; Chen, Shengyuan; Yang, Zijiang; Peyghami, M. Reza: Time-homogeneous top-(K) ranking using tensor decompositions (2020)
  11. Ayele, Amare Wubishet; Gabreyohannes, Emmanuel; Edmealem, Hayimro: Generalized autoregressive conditional heteroskedastic model to examine silver price volatility and its macroeconomic determinant in Ethiopia market (2020)
  12. Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco: Market attention and Bitcoin price modeling: theory, estimation and option pricing (2020)
  13. Divisekara, Roshani W.; Nawarathna, Ruwan D.; Nawarathna, Lakshika S.: Forecasting of global market prices of major financial instruments (2020)
  14. Goel, Anubha; Sharma, Amita: Mixed value-at-risk and its numerical investigation (2020)
  15. Hai, Tran Hoang: Estimation of volatility causality in structural autoregressions with heteroskedasticity using independent component analysis (2020)
  16. Hallin, Marc; La Vecchia, Davide: A simple R-estimation method for semiparametric duration models (2020)
  17. Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel H.: Dependent microstructure noise and integrated volatility estimation from high-frequency data (2020)
  18. Mazzarisi, P.; Barucca, P.; Lillo, F.; Tantari, D.: A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market (2020)
  19. Mazzarisi, Piero; Zaoli, Silvia; Campajola, Carlo; Lillo, Fabrizio: Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages (2020)
  20. Mohammed, Geleta T.; Aduda, Jane A.; Kube, Ananda O.: Improving forecasts of the EGARCH model using artificial neural network and fuzzy inference system (2020)

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