The following R script files were used to create the
examples presented in the book. The scripts were tested under R 3.0.3 Almost
all of the data required for the examples is included
in the MFTSR package available on R-forge.
-
Chapter 2:
Time
Series Manipulation
-
Chapter 3: Time Series
Concepts
-
Chapter 4: Unit Root Tests, Variance Ratio Tests, and
Long Memory Memory
-
Chapter 5:
Modeling
Extreme Values
-
Chapter 6:
Time
Series Regression
-
Chapter 7: Univariate GARCH
-
Chapter 10:
Systems
of Regression Eqations
-
Chapter 11:
VAR
Models
-
Chapter 12:
Cointegration
-
Chapter 13: Multivariate
GARCH
-
Chapter 14:
State
Space Models
-
Chapter 15:
Factor
Models
-
Chapter 16:
Term
Structure
-
Chapter 18: Nonlinear Models
-
Chapter 19:
Copulas.
-
Chapter 20:
Continuous Time Financial Models
-
Chapter 21:
Generalized Method of Moments