#=======================================================
#These code fragments illustrate the use of the positions() function to 
#select part of a timeseries, the used of acf(), the use of qqnorm(), and
#some graphics tools.
#They are taken from Z&W Pages 62, 67, and 71 where you will find futher context.
#====================================================================


$Z&W Page 62

r.msft = getReturns(DowJones30[,"MSFT"],type="continuous")
r.msft@title = "Daily returns on Microsoft"
sample.2000 = (positions(r.msft) > timeDate("12/31/1999") & positions(r.msft) < timeDate("1/1/2001"))
par(mfrow=c(2,2))
plot(r.msft[sample.2000],ylab="r.msft")
r.acf = acf(r.msft[sample.2000])
hist(seriesData(r.msft))
qqnorm(seriesData(r.msft))

#Z&W Say: "The daily returns on Microsoft resemble a white noise process. The qqplot,
#however, suggests that the tails of the return distribution are fatter
#than the normal distribution. Notice that since the hist and qqnorm functions
#do not have methods for “timeSeries” objects the extractor function
#seriesData is required to extract the data frame from the data slot
#of r.msft."

#Z&W page 67 (Modified)

uscn.id = 100*(lexrates.dat[,"USCNF"]- lexrates.dat[,"USCNS"])
colIds(uscn.id) = "USCNID"
uscn.id@title = "US/CA 30 day interest rate differential"
par(mfrow=c(2,1))
plot(uscn.id,reference.grid=F)
abline(h=0)
tmp = acf(uscn.id)
plot(tmp$acf,type="h", xlab="Lag", ylab="ACF", main="ACF of USCD.id")
abline(h=0)


#Z&W say: "The interest rate differential is clearly persistent: autocorrelations are
#significant at the 5% level up to 15 months.

#Z&W page 71 (Modified)

#Monthly Real Interest Rates
#The “timeSeries” object varex.ts in the S+FinMetrics module contains
#monthly data on real stock returns, real interest rates, inflation and
#real output growth.
 
colIds(varex.ts)


smpl = (positions(varex.ts) > timeDate("12/31/1960"))
irate.real = varex.ts[smpl,"RF.REAL"]
par(mfrow=c(2,2))
acf.plot(acf(irate.real, plot=F))
plot(irate.real, main="Monthly Real Interest Rate")
tmp = acf(irate.real, type="partial")

#Z&W Say: The SACF and SPACF indicate that the real interest rate might be modeled
#as an AR(2) or AR(3) process.