search for: tsay

Hi, I'm slowly working through Tsay's "Analysis of Financial Time Series" 3rd ed. ?I'm trying to replicate Table 2.1 on p.47, which gives PACF, AIC, and BIC for the monthly simple returns of the CRSP value-weighted index. The data: http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/m-ibm3dx2608.txt > da &l...

...unctions work with the latest version of Ox console (version 4)? Or do we need to use Ox version 3.40? Does somebody have it working - can you let me know how you did it? For your information, I am currently using R 2.5.1 and I am following the instructions from http://faculty.chicagogsb.edu/ruey.tsay/teaching/bs41202/G at RCH_info.txt Cheers Ian Dr. Ian McHale Lecturer in Applied Statistics Centre for Operational Research and Applied Statistics The University of Salford Maxwell Building Salford Greater Manchester M5 4WT Tel: 0161 295 4765 Fax: 0161 295 4947

Hi, I'm trying to work with TsayData in fSeries package. How can i fetch any time series data of this package. Please advice. Thanks, Sumanta Basak. Send instant messages to your online friends http://in.messenger.yahoo.com

Hi all, I am looking for study resources for (financial) time series? Hopefully I could find video lectures then it will reduce the learning curve. Thanks a lot! [[alternative HTML version deleted]]

...eter Dalgaard 7-Using R for Introductory Statistics - John Verzani 8-Data Analysis and Graphics Using R - John Maindonald; 9-Linear Models with R (Texts in Statistical Science) - Julian J. Faraway 10-Analysis of Financial Time Series (Wiley Series in Probability and Statistics)2nd edition - Ruey S. Tsay Thanks. Neil Gottlieb -------------------------------------------------------- This information is being sent at the recipient's request or with their specific understanding. The recipient acknowledges that by sending this information via electronic means, there is no absolute assurance...

Hi, All: FinTS version 0.2-7 is now available on CRAN. This version adds two new functions: * ArchTest to compute the Engle (1982) Lagrange multiplier test for conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with examples on those pages worked in the R script in "~R\library\FinTS\scripts\ch03.R", where "~R" is your local R installation directory. The code for this was kindly provided by Bernhard Pfaff. * Acf and plot.Acf to plot the autocorrelation function without the no...

Hi, I was trying to repeat the estimation of threshold GARCH models from the book "Analysis of Financial Time Series" by Ruey S. Tsay, and I was succesfull, but I had to use "for" loop, which is quite slow. The loop is necessary, since you need to calculate recursive sequence. Is there a faster way to do this in R, without using loops? The model is such: r_t = \mu + \alpha_2 r_{t-2} + a_t a_t = \sigma_t\varepsilon_t \...

Hi, All: FinTS version 0.2-7 is now available on CRAN. This version adds two new functions: * ArchTest to compute the Engle (1982) Lagrange multiplier test for conditional heteroscedasticity, discussed on pp. 101-102 of Tsay, with examples on those pages worked in the R script in "~R\library\FinTS\scripts\ch03.R", where "~R" is your local R installation directory. The code for this was kindly provided by Bernhard Pfaff. * Acf and plot.Acf to plot the autocorrelation function without the no...

Hi! I know that there is function in fBasics package for univariate Jarque-Bera test and a funtion for univariate Ljung-Box test in stats package. But I am wondering if there is a function somewhere to do the tests for multivariate time series? Thanks, John [[alternative HTML version deleted]]

Hi, All: FinTS version 0.3-1 is now available on CRAN. This version adds a function 'apca' for "Asymptotic Principal Components Analysis", as discussed in Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, sec. 9.6), in addition to minor improvements in the partially complete scripts for chapters 3 and 9. Spencer Graves _______________________________________________ R-packages mailing list R-packages at r-project.org https://stat.ethz.c...

Hellow all R fans, I wrote a R program for SCAN: Smallest CANonical Correlation Method for ARIMA(p,d,q) identification. (by Tsay and Tiao (1985)) I don't know if there is already one for this, but since I was unable to find one, so I did it. It's ready to download at the following page http://netstat.stat.tku.edu.tw/download.php I've tested the program and comared the results with SAS example output for 197...

Hi, Does anyone know if R has a Lagrange multiplier (LM) test for ARCH effects for univariant time series? Thanks! -- Tom [[alternative HTML version deleted]]

Hello Following some standard textbooks on ARMA(1,1)-GARCH(1,1) (e.g. Ruey Tsay's Analysis of Financial Time Series), I try to write an R program to estimate the key parameters of an ARMA(1,1)-GARCH(1,1) model for Intel's stock returns. For some random reason, I cannot decipher what is wrong with my R program. The R package fGarch already gives me the answer, but my cu...

Hi there, I'm in desperate need to figure out how to solve this issue. I need to estimate a recursive model for a time series data of asset returns. The dependent variable is the asset return and then I have a set of k variables, a lagged value of the dependent variable (plus an intercept) as regressors. My sample period (monthly observations) starts on Jan 1972. What I need to do is the

Hi all, Please recommend good books for the following three categories. (I am aim at finance, macroeconomics, trading and business applications). (1) statistical (financial) data analysis; (2) time series; (3) econometrics. More specifically, I am looking for the following two types of books: (1) Books that provide big pictures and intuitions and books that connect dots... For example, there

Dear all, I'm using R 2.8.1 under Windows Vista on a dual core 2,4 GhZ with 4 GB of RAM. I'm trying to reproduce a result out of "Analysis of Financial Time Series" by Ruey Tsay. In R I'm using the fGarch library. After fitting a ar(3)-garch(1,1)-model > model<-garchFit(~arma(3,0)+garch(1,1), analyse) I'm saving the results via > result<-model at fit$se.coef I'm wondering how the first variance > result at h.t[1] is computed, i....

Hello, I am a new user of R. I am trying to use the packages fBasics and fExtremes when i am running the examples I get few error. Could someone tell me what is happenig? Thank you beforehand. from Fbasics packages: xmpfBasics() Error in file(file, "r") : unable to open connection In addition: Warning message: cannot open file '/usr/lib/R/library/fBasics/demoIndex'

Dear list fellows, I want to study time series and use R to analyse time series of fishing data from several species (landings and cpue) investigating the correlation between them and with environmental factors (water temperature, wind, etc.). Searching at Amazon I found three books with examples in R: Time Series Analysis: With Applications in R by Jonathan D. Cryer and Jonathan D. Cryer

Hello, I've been using: tmp.df = read.xls(filename, stringsAsFactors = FALSE) to read in my files. Even though I get the "There were 50 or more warnings" thing, for the most part most of the data is read in correctly. However, there are a few select rows where there are values but they are being read in as NA. I copy and pasted those rows to their own individual xls file and