Statistical Analysis of Financial Data in R
![[R logo]](../../../doc/html/Rlogo.svg)
![[Up]](../../../doc/html/left.jpg)
![[Top]](../../../doc/html/up.jpg)
Documentation for package ‘Rsafd’ version 1.0.0
Help Pages
A B C D E F G H I J K L M N P Q R S T U V W Y
| Rsafd-package | Method Functions and Data Sets for the Book Statistical Analysis of Financial Data in R |
-- A --
| AFT.mat | Matrices of Afternoon High Frequency S&P Indicators |
| archm.copula | Copula Constructor |
| auto.parts | Daily stock closing prices for two auto parts companies |
-- B --
| Balt.ts | Baltimore Electricity Load and Temperature Data |
| BASKETBALL | Basket ball data |
| bb1.copula | Copula Constructor |
| bb2.copula | Copula Constructor |
| bb3.copula | Copula Constructor |
| bb4.copula | Copula Constructor |
| bb5.copula | Copula Constructor |
| bb6.copula | Copula Constructor |
| BCofLRet | Coffee log-returns |
| BCofLRet | Duke daily log-returns |
| begday | Manipulation of timeDate Objects |
| bitcoin | Daily Bitcoin price between 8/25/2014 and 1/6/2022 |
| bivd | Manipulation of Bivariate Distributions |
| block.max | BLOCK MAXIMA ESTIMATION |
| bns | Coupon Bond Price, Forward Rate, and Yield Curves in the Nelson - Siegel Family |
| bscall | Black-Scholes Price of an European Call Option |
-- C --
| c | Concatenate Two timeSeries Objects |
| CCofLRet | Coffee log-returns |
| CCofLRet | Duke daily log-returns |
| Charlotte.ts | Daily Temperature Data |
| co2.ts | CO2 concentration |
| contour.dbivd | Function producing a contour plot of the level sets of the density / cdf of a bivariate distribution or a copula |
| contour.dcoupla | Function producing a contour plot of the level sets of the density / cdf of a bivariate distribution or a copula |
| contour.pbivd | Function producing a contour plot of the level sets of the density / cdf of a bivariate distribution or a copula |
| contour.pcopula | Function producing a contour plot of the level sets of the density / cdf of a bivariate distribution or a copula |
| CORNTEMP | Corn and Temperature Data |
| Covington.ts | Daily Temperature Data |
| CPN.ts | timeSeries of Calpine daily close |
| CRUDE | Term Structure of Crude Oil Forward Prices |
-- D --
| DesMoines.ts | Daily Temperature Data |
| DF.test | Dickey-Fuller Unit Root Test |
| dgev | GENERALIZED EXTREME VALUE DISTRIBUTION |
| dgpd | RANDOM GENERATOR, DENSITY, CUMULATIVE DISTRIBUTION AND QUANTILE FUNCTIONS OF A GPD OBJECT |
| diff | Differentiation of timeSeries objects |
| dmvnorm | Utilities for the Multivariate Normal (Gaussian) Distribution |
| dpareto | PARETO DISTRIBUTION |
| DSP | Daily S&P 500 |
| DSP.ts | Daily S&P close |
| DSP500 | Vector of the daily close and log-returns of the S&P 500 index |
| DSPLRet | Numeric vector of daily log returns of the S&P500 index |
| DUKE.index | Utilities Indexes |
| DUKE.ts | Time series of the daily closing prices of Energy Companies |
| DUKE1.wer | Weekly Excess Returns for Duke Energy |
| DUKE2.wer | Weekly Excess Returns for Duke Energy |
| DukeLRet | Duke daily log-returns |
| DYNEGY.ts | Time series of the daily closing prices of Energy Companies |
-- E --
| empirical.copula | Constructor of Empirical Copulas |
| ENERGY.ts | Constellation Energy, Natural Gas, S&P500, and Treasuty Bill Readings |
| ENRON.index | Utilities Indexes |
| ENRON.ts | DOW JONES Indexes for Energy Companies |
| EnronIndex.ts | Values of the Enron Index |
| EnronLRet | Duke daily log-returns |
| estimate.mix.gev | MIX PARAMETER ESTIMATION FOR A GEV DISTRIBUTION |
| ethanol | Ethanol data |
| EXXON.ts | DOW JONES Indexes for Energy Companies |
-- F --
| fit.copula | Maximum Likelihood Fit of a Copula |
| fit.gpd | POT ESTIMATION OF A GENERALIZED PARETO DISTRIBUTION |
| fns | Coupon Bond Price, Forward Rate, and Yield Curves in the Nelson - Siegel Family |
| fns | Function computing the values of forward rate curve from the Nelson-Siegel parametric family |
| frank.copula | Copula Constructor |
| FRWRD | Natural Gas Forward Contract Prices |
-- G --
| galambos.copula | Copula Constructor |
| garch | Fit a GARCH Model to a Time Series or a Vector |
| GEqeps.ts | Quarterly Earnings |
| GermanB041700 | German Treasury Bonds |
| gev | GENERALIZED EXTREME VALUE DISTRIBUTION |
| gev.lmom | L-MOMENT ESTIMATORS |
| gev.ml | Maximum Likelihood Parameter Estimates |
| gpd.lmom | L-MOMENT ESTIMATORS |
| gpd.ml | Maximum Likelihood Parameter Estimates |
| gumbel.copula | Copula Constructor |
-- H --
| hills | Scottish Hill Races Record Times |
| HOWAREYOU | Digitized Sound |
| husler.reiss.copula | Copula Constructor |
-- I --
| IBM | High Frequency Data of IBM trades in June 1999 |
| IBMqeps.ts | Quarterly Earnings |
| IBMticks.ts | Tick by tick (transaction) data for IBM on May 10 - 14, 2004 |
| isig | Black-Scholes Price of an European Call Option |
| isig | Function computing the Implied Volatility of an Option |
-- J --
| joe.copula | Copula Constructor |
-- K --
| kalman | Kalman Filter for a Linear Partially Observed System |
| kdest | Gaussian Kernel 2-D Density Estimation |
| Kendalls.tau | Computation of the Kendall's TAU and the Spearman's RHO Correlation Coefficients |
| kimeldorf.sampson.copula | Copula Constructor |
| kreg | Multivariate Kernel Regression |
-- L --
| L1 | Loss Data Sets |
| l1fit | Least Absolute Deviations Regression |
| L2 | Loss Data Sets |
| LaGuardia.ts | Daily Temperature Data |
| LasVegas.ts | Daily Temperature Data |
| lm.diag | Diagnostics of a linear model |
| LOSS1 | Loss Data Sets |
| LOSS2 | Loss Data Sets |
-- M --
| M.wer | Weekly Excess Returns for a Market Portfoio |
| M1.wer | Weekly Excess Returns for a Market Portfoio |
| M2.wer | Weekly Excess Returns for a Market Portfoio |
| makeDate | Function returning an object of class timeDate from a character string |
| merge | Merge two objects of class timeSeries into a single one |
| MID1 | Data Set used for a Problem on the Comparison of Least Squares and Least Absolute Deviations Polynomial Regression |
| MIND | Data Matrix used in a Problem Set |
| MONTHLY | Monthly values of the short and long interest rates and S&P 500 index |
| MORN.mat | Matrices of Afternoon High Frequency S&P Indicators |
| MSP | Minute by Minute S&P 500 Quotes |
-- N --
| Newark.ts | Daily Temperature Data |
| noon | Manipulation of timeDate Objects |
| normal.mix.copula | Copula Constructor |
-- P --
| pareto | PARETO DISTRIBUTION |
| PCS | PCS Index Data |
| PEPqeps.ts | Quarterly Earnings |
| persp.dbivd | Function producing a surface plot of the density or the cdf of a bivariate distribution |
| persp.pbivd | Function producing a surface plot of the density or the cdf of a bivariate distribution |
| pgev | GENERALIZED EXTREME VALUE DISTRIBUTION |
| pgpd | RANDOM GENERATOR, DENSITY, CUMULATIVE DISTRIBUTION AND QUANTILE FUNCTIONS OF A GPD OBJECT |
| Philadelphia.ts | Daily Temperature Data |
| plot | Plot an Object of Class timeSeries |
| plot.gpd | PLOT OF THE TAIL OF A GENERALIZED PARETO DISTRIBUTION |
| ploting.position.estimator.LMOM | POTTING POSITION ESTIMATOR |
| plotting.position | POTTING POSITION ESTIMATOR |
| pmvnorm | Utilities for the Multivariate Normal (Gaussian) Distribution |
| pmvnorm | Functions giving the values of the cdf and quantile and producing random samples of a multivariate distribution function |
| Portland.ts | Daily Temperature Data |
| ppareto | PARETO DISTRIBUTION |
| PPRICE | Daily Energy Prices and Temperatures |
| pred.ar | Compute Predictions for an AR Model |
| PSPOT | Power Spot Price data |
-- Q --
| qgev | GENERALIZED EXTREME VALUE DISTRIBUTION |
| qgpd | RANDOM GENERATOR, DENSITY, CUMULATIVE DISTRIBUTION AND QUANTILE FUNCTIONS OF A GPD OBJECT |
| qmvnorm | Functions giving the values of the cdf and quantile and producing random samples of a multivariate distribution function |
| qpareto | PARETO DISTRIBUTION |
| qqexp | Empirical Q-Q PLOT WITH THE EXPONENTIAL and NORMAL DISTRIBUTIONS |
| qqnorm | Empirical Q-Q PLOT WITH THE EXPONENTIAL and NORMAL DISTRIBUTIONS |
-- R --
| rbivd-method | ~~ Methods for Function 'rbivd' in Package 'Rsafd' ~~ |
| rbivd-methods | ~~ Methods for Function 'rbivd' in Package 'Rsafd' ~~ |
| rcopula | Random generator for bivariate samples from a copula |
| rcopula-method | ~~ Methods for Function 'rcopula' in Package 'Rsafd' ~~ |
| rcopula-methods | ~~ Methods for Function 'rcopula' in Package 'Rsafd' ~~ |
| Reno.ts | Daily Temperature Data |
| Ret | 20 x 10 matrix used as illustration |
| rgev | GENERALIZED EXTREME VALUE DISTRIBUTION |
| rgpd | RANDOM GENERATOR, DENSITY, CUMULATIVE DISTRIBUTION AND QUANTILE FUNCTIONS OF A GPD OBJECT |
| rgpd-method | ~~ Methods for Function 'rgpd' in Package 'Rsafd' ~~ |
| rgpd-methods | ~~ Methods for Function 'rgpd' in Package 'Rsafd' ~~ |
| rmvgaussian.copula | Generate Random Samples from the One-Factor Multivariate Gaussian Copula |
| rmvnorm | Utilities for the Multivariate Normal (Gaussian) Distribution |
| rmvnorm | Functions giving the values of the cdf and quantile and producing random samples of a multivariate distribution function |
| ROCK | ROCK data set |
| rpareto | PARETO DISTRIBUTION |
| Rsafd | Method Functions and Data Sets for the Book Statistical Analysis of Financial Data in R |
-- S --
| Sacramento.ts | Daily Temperature Data |
| SAFT.mat | Matrices of Afternoon High Frequency S&P Indicators |
| sample.LMOM | SAMPLE L-MOMENTS |
| shape.plot | ESTIMATE OF XI AS FUNCTION OF THE THRESHOLD |
| SHAPE.XI | PARAMETRIZATION OF GENERALIZED ETREME VALUES AND PARETO DISTRIBUTIONS |
| sim.garch | Simulation of a GARCH Model |
| SMORN.mat | Matrices of Afternoon High Frequency S&P Indicators |
| Spearmans.rho | Computation of the Kendall's TAU and the Spearman's RHO Correlation Coefficients |
| SPFUT | Daily S&P Futures Contracts with Constant Maturities |
| SPsep98 | High Frequency Data: S&P 500 Data, September 1998 Futures Contract |
| SPsep98.ts | High Frequency Data Time Series of S&P 500 Transaction Data: the September 1998 Futures Contract |
| sp_data | Daily Closing values of the SP500 index |
| sstl | Decomposition of a timeSeries Object into Trend, Seasonal and Remainder Components |
| stocks | Daily stock closing prices |
| STRENGTH | STRENGTH data set |
| SUBSP | Subset of the daily S&P daily close data |
| swap | Swap Rates |
-- T --
| tailplot | GENERALIZED EXTREME VALUE DISTRIBUTION |
| tawn.copula | Copula Constructor |
| TC | TC data set |
| TEMPS.ts | Daily Temperature Data |
| TEMPS1.ts | Daily Temperature Data |
| TEMPS2.ts | Daily Temperature Data |
| TEMPS3.ts | Daily Temperature Data |
| timeSeries | Constructor for Objects of Class timeSeries |
| TRGSP | S&P 500 Option Data |
| TRGSP2 | S&P 500 Option Data |
| TRGSP2000 | S&P 500 Option Data |
| TRGSP3 | S&P 500 Option Data |
| TRGSS | (Simulated) Data Sets used in the Regression Problem on the Pricing of Spread Options |
| TSTSP | S&P 500 Option Data |
| TSTSP2 | S&P 500 Option Data |
| TSTSP2000 | S&P 500 Option Data |
| TSTSP3 | S&P 500 Option Data |
| TSTSS | (Simulated) Data Sets used in the Regression Problem on the Pricing of Spread Options |
| twoDkreg | Two Dimensional Gaussian Kernel Regression |
-- U --
| us.bis.yield | US Treasury Yields |
| USBN041700 | US Bonds and Notes Data on April 17, 2000 |
| UTIL.index | Utilities Indexes |
| UTILITIES | Utiities data set |
| UTILITY.index | Utilities Indexes |
-- V --
| VINEYARD | VINEYARD data set |
-- W --
| wCAPM.ts | Weekly Excess Returns for Tests of CAPM |
| wCAPM1.ts | Weekly Excess Returns for Tests of CAPM |
| wCAPM2.ts | Weekly Excess Returns for Tests of CAPM |
| WSP | Weekly quotes of the S&P 500 Index |
| WSPLRet | Weekly quotes of the S&P 500 Index |
-- Y --
| y4nls1 | Crude Oil Forward Data |
| y4nls2 | Crude Oil Forward Data |
| yns | Coupon Bond Price, Forward Rate, and Yield Curves in the Nelson - Siegel Family |
| yns | Function computing the values of forward rate curve from the Nelson-Siegel parametric family |