FinTS

companion to

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley) <http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2 >

The following is a list of the chapters in the book and the current project status:

Chapter	% complete	chapter volunteer(s)	Next steps
1. Financial Time Series and their Characteristics	100%	<a volunteer>	Complete checking
2. Linear Time Series and its Applications	98%	Ruey Tsay	R code for EACF -> Package
3. Conditional Heteroscedastic Models	13%	Spencer Graves	check formula, p. 102; ARCH question -> R Wiki
4. Nonlinear Models and their Applications
5. High-Frequency Data and Market Microstructure
6. Continuous-Time Models and their Applications
7. Extreme Values, Quantile Estimation, and Value at Risk
8. Multivariate Time Series Analysis and its Applications
9. Principal Component Analysis and Factor Models
10. Multivariate Volatility Models and their Applications
11. State-Space Models and Kalman Filter		Mark Leeds <markleeds asep verizon dsep net>
12. Markov Chain Monte Carlo with Applications

[where "asep" = @ and "dsep" = ".".]

The examples, figures and tables in the book were originally produced with a mixture of SCA, RATS, and S-PLUS Finmetrics. Thus, even much of the S-PLUS will not run in R without modification. A primary goal of this project is to produce script files that will reproduce as many of the examples, figures, and tables as is feasible between now and March 2008 when Prof. Tsay is next scheduled to teach a class out of this book. I can not meet that deadline by myself, and I will happily accept any assistance that is offered.

1. The simplest way for someone to contribute is simply to send an email with suggestion(s) to spencer dot graves at prodsyse dot com. Before you do, however, I request you check with the latest version of FinTS available via install.packages("FinTS",repos="http://r-forge.r-project.org").

2. It might be easier for me to process your suggestions if you had the source code for the package, which is available from [src-latest.tar.gz] on "https://r-forge.r-project.org/scm/?group_id=84". You can get that and submit suggested changes.

3. If you are subversion literate, it might be even easier for you to obtain the source code via "svn checkout svn://svn.r-forge.r-project.org/svnroot/fints".

4. You could be most helpful as an official co-developer. If you are interested in that, please send me an email explaining what you would like to contribute, register with "www.r-forge.r-project.org", and "request to join" on "https://r-forge.r-project.org/projects/fints".

However, as I said previously, I will happily accept any help that is offered. The most time consuming element of what I have done in the past month is just finding what is already available, and determining how I need to call it or modify it to get something reasonably close to the answers in the book.

Thanks for your interest in FinTS.

Spencer Graves