An Introduction to Analysis of Financial Data with R

Preface

1   FINANCIAL DATA AND THEIR PROPERTIES

1.1   Asset Returns

1.2   Bond Yields and Prices

1.3   Implied Volatility

1.4   R Packages and Demonstrations

1.4.1   Installation of R Packages

1.4.2   The Quantmod Package

1.4.3   Some Basic R Commands

1.5   Examples of Financial Data

1.6   Distributional Properties of Returns

1.6.1   Review of Statistical Distributions and Their Moments

1.7   Visualization of Financial Data

1.8   Some Statistical Distributions

1.8.1   Normal Distribution

1.8.2   Lognormal Distribution

1.8.3   Stable Distribution

1.8.4   Scale Mixture of Normal Distributions

1.8.5   Multivariate Returns

Exercises

References

2   LINEAR MODELS FOR FINANCIAL TIME SERIES

2.1   Stationarity

2.2   Correlation and Autocorrelation Function

2.3   White Noise and Linear Time Series

2.4   Simple Autoregressive Models

2.4.1   Properties of AR Models

2.4.2   Identifying AR Models in Practice

2.4.3   Goodness of Fit

2.4.4   Forecasting

2.5   Simple Moving Average Models

2.5.1   Properties of MA Models

2.5.2   Identifying MA Order

2.5.3   Estimation

2.5.4   Forecasting Using MA Models

2.6   Simple ARMA Models

2.6.1   Properties of ARMA(1,1) Models

2.6.2   General ARMA Models

2.6.3   Identifying ARMA Models

2.6.4   Forecasting Using an ARMA Model

2.6.5   Three Model Representations for an ARMA Model

2.7   Unit-Root Nonstationarity

2.7.1   Random Walk

2.7.2   Random Walk with Drift ...