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.


Changes in Version 0.3-7

o Added "See Also: 'file.path'" to the help file for 'package.dir' to make it easier to find.

Changes in Version 0.3-6

o This is the first version to have a complete script for chapter 9. The previous release had complete scripts for chapters 1-3 and partial scripts for chapters 4, 9, and 11.

Reference manual

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0.4-6 by Georgi N. Boshnakov, 2 years ago

Browse source code at

Authors: Spencer Graves

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Depends on zoo, graphics

Suggests moments, distrEx, tseries, urca, lmtest, sandwich, psych, GPArotation, chron, polynom, e1071

Imported by WaveletGARCH.

See at CRAN