Wiley Series in Probability and Statistics, John Wiley, ISBN 978-0-470-89081-3 (2013)

This web contains the data sets, R packages, R scripts, and R commands used in the text.

All analyses in the text were carried out with R.

Errata of the text.

Solutions to exercises are available for instructors who adopt the book as a textbook. Please send your request to

Ms Kathleen Pagliaro
of

Wiley at kpagliaro@wiley.com via email or regular mail at

Ms Kathleen Pagliaro

Mail Stop 8-02

John Wiley and Sons, Inc.

111 River Street

Hoboken, NJ 07030, U.S.A.

#### Analysis of Global Temperature: ch3case2.pdf ######

The solutions are not for distribution and should not be given to any third part without permission from the author and Wiely.

Data sets used (including exercises): ch1data.zip (file names are given in the text)

R packages used: quantmod, fBasics, mnormt

Data sets for exercises: (1) d-axp3dx-0111.txt, (2) m-ge3dx-4011.txt, (5) d-fx-ukus-0711.txt and d-fx-usjp-0711.txt

R commands used in the chapter: ch1Rscripts.txt

Data sets used (including exercises): ch2data.zip

R packages used: quantmod, fUnitRoots, TSA, fracdiff

R scripts used: backtest.R, foreplot.R

Data sets for exercises: (1) m-unrate-4811.txt, (2) m-dec125910-6111.txt, (4) m-aaa-1911.txt and m-baa-1911.txt, (7) q-jnj-earns-9211.txt, (8) q-GNPC96.txt

R commands used in Chapter 2: ch2Rscripts.txt

Data sets used (including exercises): ch3data.zip

R script used: backtest.R (see Chapter 2)

Data sets for exercises: (1) m-CAUS-7611.txt, (2) m-morgfed-7111.txt

R commands used in Chapter 3: ch3Rscripts.txt

Data sets used (including exercises): ch4data.zip

R package used: fGarch

R scripts used: archTest.R, Igarch.R, garchM.R, Egarch.R, Ngarch.R, Tgarch11.R, and vold2m.R

Data sets for exercised: (1) d-spy-0111.txt, (3) m-ko-6111.txt, (5) d-pg-0111.txt

R commands used in Chapter 4: ch4Rscripts.txt

Data sets used (including exercises): ch5data.zip

R package used: fGarch

R scripts used: EWMAvol.R, GMVP.R, backtest.R (see chapter 2), backtestGarch.R

Data sets for exercises: (1) w-petroprice.txt, (2) d-a2a-0110.txt, (3) d-abtsp-0110.txt. For problems (4) and (5), see (2).

R commands used in Chapter 5: ch5Rscripts.txt

Data sets used (including exercises): ch6data.zip

R packages used: fGarcg, MASS

R scripts used: acd.R, hfanal.R, hf2ts.R, hfchg.R, GeoSize.R

Data sets for exercises: (3) taq-aa-t-june72010.txt, (5) taq-aa-t-june82010.txt, (6) taq-aa-t-june7t112010.txt, (7) taq-sbux-jul2011.txt

R commands used in Chapter 6: ch6Rscripts.txt

Data sets used (including erercises): ch7data.zip

R packages used: fGarch, evir, quantreg

R scripts used: SimGarcht.R, Hill.R

Data sets for exercises: (1)-(5) d-aapl-0111.txt, (6) d-aaplbnd-0111.txt

Some R scripts used in exercises: RMfit.R, RMeasure, evtVaR, RMeasure.sim

R commands used in Chapter 7: ch7Rscripts.txt