which time series class to use in R for financial data?

Question

for working with financial time series, like daily stock prices or intraday data, which time series packages are preferred? xts, plain zoo, or timeSeries or something else? I use both xts and zoo, but sometimes not sure to use xts exclusively or sometimes zoo have advantage of lighter overhead; also, I remembered a review paper on all these packages by Rmetrics, which claims that xts cannot even finish some tests they did. But I cannot find the paper now.

Answer 1

I am rather happy with xts and zoo and alternate between the two.

Nothing forces you to use one exclusively. As zoo is a little older, some packages interface it rather than xts. But xts has extensions which provide extra functionality (e.g. the indexing) which make it a valid option.

Other folks may be perfectly happy with Rmetrics classes. It all depends, and is to some extent a matter of personal preferences.