[R-SIG-Finance] Analysis of Financial Time Series

[Spencer Graves]

Hello, All: 

      I'm currently developing an R companion to Ruey Tsay (2005) 
Analysis of Financial Time Series, 2nd ed. (Wiley), and I'd be pleased 
to have help. 

      A preliminary version "FinTS 0.1-17" is now available on CRAN.  A 
slightly newer version can be installed from R-Forge via 
'install.packages("FinTS",repos="http://r-forge.r-project.org")'.  The 
source code is available via "svn checkout 
svn://svn.r-forge.r-project.org/svnroot/fints". 

      The current versions contain all the data sets used in the text as 
documented R objects plus script files to generate nearly all the 
analyses in chapters 1 and 2.  It is therefore a great help, I believe, 
for anyone reading this book. 

      I could use volunteers to help me complete the package.  So far, 
I've found R functions to reproduce nearly all the examples, figures and 
tables in the book.  However, I don't use them routinely, and it is 
taking me considerable time to find what is available, to decide which 
of the available functions seem most appropriate for each application, 
and figure out how to use it so I get results reasonably close to those 
in the book.  For example, chapter 3 discusses "Conditional 
Heteroscedastic Models", including ARCH, GARCH, EGARCH, CHARMA, random 
coefficient autoregressive models, and stochastic volatility models.  
Other chapters discuss nonlinear time series, high frequency and 
continuous time models, extreme values, multivariate time series, Kalman 
filtering, and MCMC.  I can follow the math, but I have not used many of 
these models myself. 

      If you are interested in helping with this project, please let me 
know. 

      Best Wishes,
      Spencer Graves