Tsay, Analysis of Financial Time Series, 3e
Posted: Fri Jun 29, 2012 12:24 pmThe attached zip has the programs and data for Analysis of Financial Time Series , 3e by Ruey Tsay (2010, Wiley). This is a graduate level text on time series analysis with a special emphasis on computations needed in finance. For instance, there are several examples which compute the value-at-risk (VaR) using different methods. This also has quite a few "non-standard" GARCH models that require estimation by MAXIMIZE, though it also uses more standard GARCH models as well. Several other areas not generally covered in textbooks are threshold models, and Gibbs sampling. Note that the Gibbs sampling examples often use rather inefficient techniques (for instance "griddy Gibbs") and so several are quite slow.
This book is available for purchase from Estima. See http://www.estima.com/textbook_tsay.shtml
This book is available for purchase from Estima. See http://www.estima.com/textbook_tsay.shtml
tsay_3.zip- Zip with programs/data
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| Example | Description | RATS Level |
| tsayp011.rpf | Descriptive statistics | Intermediate |
| tsayp019.rpf | Graphics examples | Basic |
| tsayp021.rpf | Kernel density estimation | Intermediate |
| tsayp033.rpf | Graphing autocorrelations | Basic |
| tsayp042.rpf | AR models, analysis of roots | Intermediate |
| tsayp047.rpf | AR models | Intermediate |
| tsayp060.rpf | MA order | Basic |
| tsayp078.rpf | Unit root test | Basic |
| tsayp079.rpf | Unit root test | Basic |
| tsayp081.rpf | Seasonal ARMA model | Basic |
| tsayp086.rpf | Seasonal ARMA model | Basic |
| tsayp090.rpf | ARMA-X model | Basic |
| tsayp111.rpf | Graphing volatility statistics | Basic |
| tsayp116.rpf | Graphing volatility statistics | Basic |
| tsayp123.rpf | ARCH model | Basic |
| tsayp131.rpf | ARCH model | Basic |
| tsayp134.rpf | ARCH and GARCH models | Intermediate |
| tsayp145.rpf | EGARCH model | Basic |
| tsayp151.rpf | CHARMA model | Advanced |
| tsayp155.rpf | GARCH model (univariate/non-standard form) | Advanced |
| tsayp158.rpf | GARCH model (univariate with spillovers) | Advanced |
| tsayp160.rpf | Sample volatility estimates | Advanced |
| tsayp178.rpf | Bilinear model | Intermediate |
| tsayp180.rpf | STAR model | Advanced |
| tsayp182.rpf | Asymmetrical GARCH model | Advanced |
| tsayp185.rpf | STAR-ARCH model | Advanced |
| tsayp188.rpf | Markov Switching model | Advanced |
| tsayp196.rpf | Non-parametric regression | Basic |
| tsayp203.rpf | Neural network | Intermediate |
| tsayp204.rpf | Neural network | Intermediate |
| tsayp218.rpf | Nonlinear AR models | Advanced |
| tsayp238.rpf | Tick data | Advanced |
| tsayp241.rpf | Tick data | Advanced |
| tsayp243.rpf | Tick data | Advanced |
| tsayp250.rpf | Ordered probit model | Advanced |
| tsayp261.rpf | ACD models | Advanced |
| tsayp264.rpf | ACD models | Advanced |
| tsayp268.rpf | Transactions models | Advanced |
| tsayp270.rpf | ACD models | Advanced |
| tsayp295.rpf | Geometric Brownian Motion | Basic |
| tsayp296.rpf | Geometric Brownian Motion | Basic |
| tsayp302.rpf | Black-Scholes | Basic |
| tsayp305.rpf | Black-Scholes | Advanced |
| tsayp330.rpf | Value at Risk (VaR) using GARCH | Intermediate |
| tsayp334.rpf | Value at Risk (VaR) using GARCH | Intermediate |
| tsayp338.rpf | Value at Risk (VaR) using GARCH, multi-step | Basic |
| tsayp339.rpf | Value at Risk (VaR) using quantiles | Basic |
| tsayp340.rpf | Value at Risk (VaR) using quantiles | Basic |
| tsayp348.rpf | Generalized Extreme Value-tail index estimation | Advanced |
| tsayp355.rpf | Value at Risk (VaR) using GEV | Intermediate |
| tsayp364.rpf | Value at Risk (VaR) using GEV, GPD | Advanced |
| tsayp373.rpf | Value at Risk (VaR) using GEV with explanatory variables | Advanced |
| tsayp383.rpf | Extremal index | Advanced |
| tsayp393.rpf | Cross correlation tables | Intermediate |
| tsayp395.rpf | Cross correlation tables | Basic |
| tsayp407.rpf | Vector autoregression (VAR) | Intermediate |
| tsayp421.rpf | Vector ARMA model | Advanced |
| tsayp425.rpf | Vector ARMA model | Advanced |
| tsayp438.rpf | Vector Error Correction model (VECM) | Intermediate |
| tsayp445.rpf | Threshold cointegration model | Advanced |
| tsayp449.rpf | Vector Error Correction model (VECM) | Intermediate |
| tsayp470.rpf | Single Factor model | Advanced |
| tsayp475.rpf | Multiple (macroeconomic) factor model | Advanced |
| tsayp478.rpf | BARRA factor model | Advanced |
| tsayp485.rpf | Principal components factor model | Intermediate |
| tsayp493.rpf | Maximum likelihood factor model | Advanced |
| tsayp495.rpf | Maximum likelihood factor model | Advanced |
| tsayp500.rpf | Asymptotic principal components model | Advanced |
| tsayp507.rpf | MV-GARCH (EWMA) | Intermediate |
| tsayp511.rpf | MV-GARCH (DVEC) | Advanced |
| tsayp514.rpf | MV-GARCH (BEKK) | Intermediate |
| tsayp523.rpf | MV-GARCH (CC) | Intermediate |
| tsayp524.rpf | MV-GARCH (time varying correlations) | Advanced |
| tsayp532.rpf | MV-GARCH (DCC) | Basic |
| tsayp538.rpf | MV-GARCH (Cholesky factor model) | Advanced |
| tsayp544.rpf | MV-GARCH (principal factors) | Advanced |
| tsayp546.rpf | MV-GARCH VaR calculations | Intermediate |
| tsayp559.rpf | State-space model (local level) | Intermediate |
| tsayp602.rpf | State-space model (time varying CAPM) | Advanced |
| tsayp605.rpf | State-space model (unobservable components) | Advanced |
| tsayp627.rpf | Gibbs sampling (AR regression model) | Expert |
| tsayp635.rpf | Gibbs sampling (outlier detection) | Expert |
| tsayp640.rpf | Gibbs sampling (stochastic volatility) | Expert |
| tsayp658.rpf | Gibbs sampling (multivariate SV) | Expert |
| tsayp663.rpf | Gibbs sampling (Markov switching GARCH) | Expert |