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 adopt the book as a textbook. Please send your request to
Ms Kathleen Pagliaro of
Wiley at kpagliaro@wiley.com via email or regular mail at
Ms Kathleen Pagliaro
Mail Stop 8-02
John Wiley and Sons, Inc.
111 River Street
Hoboken, NJ 07030, U.S.A.

#### 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): ch3data.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: ch3Rscripts.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