Modeling Financial Time Series with S-PLUS® (Google eBook)

Front Cover
Springer, Oct 10, 2007 - Mathematics - 1020 pages
2 Reviews
The field of financial econometrics has exploded over the last decade. This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This second edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. From the reviews of the second edition: 'It provides theoretical and empirical discussions on exhaustive topics in modern financial econometrics, statistics and time series. … it is definitely a good reference book for use in studying and/or researching in modern empirical finance … .' (T. S. Wirjanto, Short Book Reviews, Vol. 26 (1), 2006) '...It is a pleasure to strongly recommend this text, and to include statisticians such as myself among the pleased audience.' (Thomas L. Burr for Techommetrics, Vol. 49, No. 1, February 2007)
  

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Contents

2
15
where ln is the natural log function To see why
45
3
56
y
59
dy
72
Simulated returns
85
Variance Ratio Profile
93
4
111
1355 Multivariate Conditional tDistribution
508
14
519
namesssf11
524
U
528
T xO+U
533
FIGURE 149 Smoothed estimates of at and j3t from CAPM
562
15
569
TANDY TEXACO WEYER
577

USUK 30day interest rate differential
137
5
141
SP 500 negative returns
162
1
173
6
180
7
223
normal PDF when ?2 the density has thicker tails than
258
8
271
plotndxvol referencegridF
287
Beran J Feng Y and Ocker D 1999 SEMIFAR Models
310
9
312
10
361
11
385
Steps
414
FIGURE 1111 Autocorrelations and cross correlations at leads and lags
420
12
430
FIGURE 122 Simulated bivariate cointegrated system with 3 1
439
235 240 245 250 255
476
a 1229
478
13
481
FIGURE 134 QQplot of standardized residuals
495
Correlations of top positions
611
16
617
17
635
2 May 1963LS 003988 3545
645
18
653
Filtered and Smoothed Estimates of Regime Probabilities
700
19
713
I are univariate dfs then I defined in 192 is
725
Function
736
Actual Returns
747
TEE
748
20
759
FIGURE 209 Simulated solutions from 2017 based on Eulers method
780
21
784
FIGURE 213 SACF of gwt0o from the MA1 model
825
22
847
Simulated returns from SNP model
915
SNP Model
917
23
923
f
980
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Modeling Financial Time Series with S-PLUS
Modeling Financial Time Series with S-PLUS is intended to function on two levels: first, as a user's guide to S+finmetrics, an advanced module of ...
www.questia.com/ PM.qst?a=o& se=gglsc& d=5005988496

Zivot Eric and Jiahui Wang, Modeling Financial Time Series with S-PLUS
DOI 10.1007/s10182-006-0013-y. BOOK REVIEW. Allgemeines Statistisches Archiv (2006) 90: 631–632. Zivot Eric and Jiahui Wang, Modeling Financial Time ...
www.springerlink.com/ index/ 83434H98R1818168.pdf

Errata for Modeling Financial Time Series with S-PLUS, Second Edition
Errata for Modeling Financial Time Series with. S-PLUS, Second Edition. Eric Zivot and Jiahui Wang. December 28, 2005. Updated: September 5, 2007 ...
faculty.washington.edu/ ezivot/ erratasecondedition.pdf

Modeling Financial Time Series with S-PLUS[R]. | Science ...
by Eric ZIVOT and Jiahui WANG, New York: Springer-Verlag, 2003, ISBN 0-387-95549-6, xix + 632 pp., $59.95 (softcover). One probably understands from the ...
www.allbusiness.com/ technology/ 709466-1.html

Blackwell Synergy - J Royal Statistical Soc D, Volume 52 Issue 4 ...
In the case of Modeling Financial Time Series with S-Plus, the question is probably less relevant, because this book also doubles as an introduction to an ...
www.blackwell-synergy.com/ doi/ abs/ 10.1046/ j.1467-9884.2003.t01-20-00383_23.x

Gadgets House - Free ebooks Portal - Modeling Financial Time ...
Gadgets House - Free ebooks portal:: Download all ebooks for free :: Tutorials :: News ::, Modeling Financial Time Series with S-PLUS®
www.new4hack.com/ content/ view/ 677/ 30/

econpapers: Modeling Financial Time Series With S-PLUS. Eric Zivot ...
By mcneil AJ; Modeling Financial Time Series With S-PLUS. Eric Zivot and Jiahui Wang.
econpapers.repec.org/ article/ besjnlasa/ v_3A99_3Ay_3A2004_3Ap_3A564-565.htm

ingentaconnect Modeling Financial Time Series With S-PLUS. Eric ...
Modeling Financial Time Series With S-PLUS. Eric Zivot and Jiahui Wang. Author: mcneil aj1. Source: Journal of the American Statistical Association, ...
www.ingentaconnect.com/ content/ asa/ jasa/ 2004/ 00000099/ 00000466/ art00034;jsessionid=3acp0533rw5p.alice?format=print

Stat 434 (J. Michael Steele) Financial Time Series, a Wharton ...
Required Text. Modeling Financial Time Series with S-Plus by Eric Zivot and Jiahui Wang 2nd Ed. Springer 2005. Recommended Texts (Not Required) ...
www-stat.wharton.upenn.edu/ ~steele/ Courses/ 434/ 434Syllabus.html

Technometrics: Modeling Financial Time Series with S-PLUS[R]
Modeling Financial Time Series with S-PLUS[R]. by Eric ZIVOT and Jiahui WANG, New York: Springer-Verlag, 2003, ISBN 0-387-95549-6, xix + 632 pp., ...
findarticles.com/ p/ articles/ mi_go2243/ is_200311/ ai_n6588598/ print

About the author (2007)

Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics.

Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

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