Analysis of Financial Time Series

      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. 

      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.

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.