An Introduction to Analysis of Financial Data with R
Web page for "An Introduction to Analysis of Financial Data with R" by Ruey S. Tsay
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 use the book as a textbook. To register to receive the Solutions, please visit this site and register: http://bcs.wiley.com/he-bcs/Books?action=resource&bcsId=9001&itemId=0470414359&resourceId=35641
#### 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.
Chapter 1: Financial Data and Their Properties
Data sets used (including exercises): ch1data.zip (file names are given in the text)
R packages used: quantmod, fBasics, mnormt
R scripts used: ohlc.R, ma.R
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
Chapter 2: Linear Models for Financial Time Series
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
Chapter 3: Case Studies of Linear Time Series
Data sets used (including exercises): ch2data.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: ch2Rscripts.txt
Chapter 4: Asset Volatility and Volatility Models
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
Chapter 5: Applications of Volatility Models
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
Chapter 6: High Frequency Financial Data
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
Chapter 7: Value at Risk
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