Modeling Financial Time Series with S-PLUS®

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.

• S and S-PLUS.- Time Series Specification, Manipulation, and Visualization in S-PLUS.- Time Series Concepts.- Unit Root Tests.- Modeling Extreme Values.- Time Series Regression Modeling.- Univariate GARCH Modeling.- Long Memory Time Series Modeling.- Rolling Analysis of Time Series.- Systems of Regression Equations.- Vector Autoregressive Models for Multivariate Time Series.- Cointegration.- Multivariate GARCH Modeling.- State Space Models.- Factor Models for Asset Returns.- Term Structure of Interest Rates.- Robust Change Detection.- Nonlinear Time Series Models.- Copulas.- Continuous-Time Models for Financial Time Series.- Generalized Method of Moments.- Seminonparametric Conditional Density Models.- Effcient 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) "This book has a double function. First, it serves as a guide to models and estimation methods for extracting information from financial time series, and second, as a user's guide for Insightful's S+FinMetrics package. That makes it interesting for mainly two communities of readers: the academic community in econometrics, statistics and finance, and the pracitioners in the finance industry. ...In summary this book is excellent to learn key methods and corresponding S+FinMetrics functions to analyze financial time series." (Valerie Chavez-Dumoulin for Journal of Statistical Software, Vol. 17, February 2007) "This is the second edition of the book devoted to a new 2.0 version of S+FinMetrix module of statistical functions for financial time series analysis and financial econometrics. It can be used as the users guide for S+FinMetrix and as a general reference for financial statistics on S-Plus. The book covers a variety of topics in statistical analysis and visualization of time series ... ." (R. E. Maiboroda, Zentralblatt MATH, Vol. 1092 (18), 2006) "Analyzing financial time series has been enjoying increasing popularity over the last decade. ... The book under review covers many of these different theories and methods. ... The intended audience comprises both researchers and practitioners in the finance industry, academic researchers in financial econometrics, but also advanced and graduate students. ... As almost every relevant topic from financial econometrics is under consideration, this book is a must for every person with empirical interest who has decided to use S, S-PLUS and S+FinMetrics as underlying platform." (Matthias Fischer, Allgemeines Statistisches Archiv, Vol. 90, 2006) "This book is a guide on how to analyze and model financial time series data using S-PLUS and S-FinMetrics. ... The book is aimed for a wide audience of workers in the areas of empirical finance ... and many researchers in economics and finance, marketing, and even management. This publication can also be an important tool for graduate students in the areas of statistics, economics, finance, and operations research. ... In conclusion ... a much needed book on financial time series ... ." (Stergios B. Fotopoulos, Technometrics, Vol. 49 (3), August, 2007) "This second edition is a compilation of methods for analyzing financial time series using S-PLUS and the S-PLUS module S+FinMetrics. ... The sheer number of time series topics covered by the book is impressive ... . if you are a knowledgeable reader looking for a brief exposition of many common and current results, along with illuminating applications and illustrations with S-PLUS and S+FinMetrics, you will be pleased." (Jane L. Harvill, Sky & Telescope, November, 2007)