Companion to Tsay (2005) Analysis of Financial Time Series

R companion to Tsay (2005) Analysis of Financial Time Series, second edition (Wiley). Includes data sets, functions and script files required to work some of the examples. Version 0.3-x includes R objects for all data files used in the text and script files to recreate most of the analyses in chapters 1-3 and 9 plus parts of chapters 4 and 11.

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*Note by Georgi:* The package needs to be build with 

 R CMD build FinTS --resave-data

Otherwise, 'R CMD check' gives warning suggesting to do exactly that.
Once the package is built with '--resave-data' R inserts a dependency on R (>= 2.10), but
this shouldn't be a problem.
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The follow describes how different packages are used.  


DEPENDS:  

zoo:  Many data objects are of class 'zoo'.  This is used 
extensively in 'FinTS'.    

fUtilities:  'skewness' and 'kurtosis' are called from 
'FinTS.stats'.  The 'fUtilities' skewness and kurtosis 
functions are generic and try to do more things but contain 
bugs.  However, 'fUtilities' is required by 'fUnitRoots'.  
Therefore, it is used for 'skewness' and 'kurtosis' also 
to reduce 'DEPENDS'.  

chron:  component 'date.time' in 'ibm' used in chapter 5 is of 
class 'chron'.  

polynom:  'solve.polynomial' is used by 'plotArmaTrueacf' to find 
complex conjugates.  

fUnitRoots:  Function 'adfTest' is used by 'Unitroot'.  


SUGGESTS:  

moments:  Used in 'ch01.R'.  

distEx:  Used in 'ch01.R'.  

tseries:  Used in 'ch02.R'.  

urca:  Used in 'ch02.R'.  

uroot:  Used in 'ch02.R'.  

fCalendar:  'holidaysNYSE' is used in 'scripts\create-ch08.R', 
'*-ch10.R' and '*-ch11.R'.  

lmtest:  'coeftest' used in 'ch02.R' 

sandwich:  'vcovHC' used in 'ch02.R' 

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##
## Previous 'DEPENDS' and 'SUGGESTS' 
## removed as apparently no longer needed.  
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PREVIOUS DEPENDS:  

e1071:  Was used for 'skewness' and 'kurtosis' in 'FinTS.stats'.  
However, these functions are masked by functions of the same 
names in 'fUtilities', which is required by 'fUnitRoots'.  
Since 'fUtilities' is loaded anyway, I chanded 'DEPENDS' to 
use that instead.  I 
Therefore, it's not clear if this is even needed.  


PREVIOUS SUGGESTS:  

logSpline:  At one time, this was used in one of the scripts files.  
However, I can't find it now, and I may have deleted it.    

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