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

[Brian G. Peterson]

Spencer Graves wrote:
>       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. 

Spencer, I am very pleased to hear that you are making progress in this, 
as it is important work that many students, professionals, and 
researchers will benefit from.

I'm wondering if you've made a table of the examples or chapters and the 
specific topics or techniques employed in each.  I think that there are 
many people on this list who have expertise in specific techniques, as 
you suggest below.  I think that categorizing the examples by goal or 
technique could help enlist aid from this group, as individuals could 
choose a small number of examples that use a technique that they are are 
either already expert in in R, or a technique which they wish to learn 
in greater detail.

I'm traveling right now, and my copy of Tsay is at home, but I would be 
happy to help construct such a cross-reference table if it doesn't 
already exist.

Regards,

    - Brian

>       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.