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Modeling Financial Time Series with S-PLUS


Eric Zivot and Jiahui Wang

news | about | contents | scripts | corrections | additions | order | FinMetrics


  • February 13, 2006. Website for Modeling Financial Time Series with S-PLUS, Second Edition is created.

  • December 8, 2005. Modeling Financial Time Series with S-PLUS, Second Edition is published by Springer-Verlag.

  • May 4, 2005 Sign up for the Insightful webinar: S+FinMetrics 2.0: Advancing the state of the art in modeling financial time series. Webinar will take place on May 17th.

  • April 27, 2005. S+FinMetrics 2.0: Advancing the state of the art in modeling financial time series. Presentation given at the Insightful New York Finance and Splus 7.0 World Tour Event.

  • April 11, 2005. Insightful announces the release of S+FinMetrics 2.0. This is the first major update of S+FinMetrics. Note: S+FinMetrics 2.0 only works with S-PLUS 7.0. New features include:

    • improved coupla functionality (numerical hessian computed for fit.copula(), compare fitted copulas using information criteria, improved method functions for copula objects)

    • efficient unit root tests, variance ratio tests, tests for nonlinearity (BDS, Tsay threshold, Hansen threshold), tests for serial correlation in regression residuals

    • improved state space model functionality (numerical hessian and sandwhich hessian computed from SsfFit(), improved method functions, support for Markov switching in transition equation system matrices, support for affine term structure components, Kim's approximate filter for Markov switching state space models)

    • nonlinear regime switching models (threshold AR models, smooth transition threshold models, Markov switching AR models, Markov switching state space models.

    • numerical simulation of univariate and multivariate stochastic differential equations (Euler's methods, strong order 1 scheme, weak order 2 scheme)

    • generalized method of moments estimation of linear and nonlinear models (allows user specified weight matrices, efficient weight matrices robust to heteroskedasticity and autocorrelation, continuous updating estimation)

    • Gallant and Tauchen's semi-nonparametric (SNP) conditional density models and efficient method of moments estimation (automatically fit SNP models, implement EMM using user specified simulator functions without re-compiling the Gallant and Tauchen  FORTRAN code)

  • March 16, 2005. The errata has been updated to reflect some newly found typos.

  • January 17, 2005. The errata has been updated to reflect some newly found typos.

  • January 17, 2005. Archived Insightful webcast: State Space Modeling in Finance Using S+FinMetrics by Eric Zivot.

  • November 2, 2004. Insightful announces S-PLUS Predictive Modeling and Computational Finance Event for November 17 in New York.

  • May 12, 2004. Archived presentations from Insightful's Statistical Modeling & Computation in Finance Event are available.

  • May 1, 2004 Statistical Analysis of Financial Data in S-Plus by Rene Carmona has been published (Springer-Verlag). This is a great complement to Modeling Financial Time Series with S-PLUS. In particular, Rene's book uses the S+FinMetrics copula functions based on the EVANESCA S-PLUS library written by Rene and his PhD student J. E. Morrison.

  • March 25, 2004. Archived Insightful webcast: Credit Risk Management in Retail Banking by Jan Beran (author of long memory functions in FinMetrics).

  • March 16, 2004.  Archived Insightful webcast: Analysis of High Frequency Financial Data using S-PLUS by Eric Zivot.

  • August 20, 2003. The second printing of Modeling Financial Time Series with S-PLUS is underway. It should be available at the beginning of September. The second printing contains some minor corrections of typographical errors. These are detailed in the errata document. 

  • August 20, 2003. On September 18, 2003 Insightful hosts a webcast on Standard & Poor's Ratings Using Extreme Value Modeling with S-PLUS and S+FinMetrics, presented by Francis Parisi, Director and Analytical Manager, Structured Finance Department Standard & Poor's. 

  • December 10, 2002. The FinMetrics webcast has been archived on Insightful's website. You can listen to the webcast using either Windows media player or RealPlayer. Here are the powerpoint slides from the presentation in Adobe Acrobat format:   FinMetrics webcast 0.9.pdf

  • December 4, 2002. Insightful will host an informational webcast presented by Eric Zivot for FinMetrics on Thursday December 5 at 11 am PST. Details and registration are available at the Insightful website.

  • November 15, 2002. Jiahui Wang may be contacted at

  • November 14, 2002. Added script files for examples from book and additional material.

  • November 12, 2002. First customer review of book from

Customer Reviews
Avg. Customer Review: 5.0 out of 5 stars

2 of 2 people found the following review helpful:

5 out of 5 stars This is the best applied financial econometrics book., October 28, 2002
Reviewer: yin_luo (see more about me) from Toronto, Ontario Canada
This is an excellent book on financial econometrics, very practical yet rigorous. I wish all econometrics/statistics textbook could like this. Basic theory followed by practical examples - real life examples, not simplified ones like in other books. The authors gave detailed instructions on how to implement various econometric models, i.e. multi-factor models, GARCH, MGARCH, long memory models, state-space, etc. Most econometrics textbooks are at two extremes, they are either too theoretical (you still don't know how to put those models in real life), or too simple (lack of mathematical rigor and without advanced applications). This book is a combination of both worlds, computer codes/math models, and real life examples (some really good ones). A lot of cutting-edge techniques and advanced topics are also covered.

  • November 10, 2002. Website for Modeling Financial Time Series with S-PLUS is created.

About the Book

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. 


  • Abbreviated table of contents

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 Models * 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 * Index


The following S-PLUS script files were used to create the examples presented in the book. The use of the script files requires the S+FinMetrics module. All of the data required for the examples is included with the S+FinMetrics module.


  • errata in Adobe pdf file. Last updated: March 16, 2005.


  • Descriptions of S+FinMetrics 1.0 functions not described in Modeling Financial Time Series with S-PLUS due to time constraints associated with the publishing deadline

    • The extreme value and copula functions in the EVANESCA library are not covered in the book. The document QuanCopula.pdf provides a description of the S+FinMetrics implementation of the EVANESCA functions. Examples of using the EVANESCA functions are given in Carmona, R. (2004), Statistical Analysis of Financial Data in S-PLUS, Springer-Verlag.

  • Additional examples and applications using S+FinMetrics 1.0 functions

  • Research work performed using S+FinMetrics

    • State Space Modeling in Macroeconomics and Finance using SsfPack in S+FinMetrics, by Eric Zivot, Jiahui Wang and Siem-Jan Koopman.

    • "An Analysis of High Frequency Data Using S-PLUS," by Bingchen Yan and Eric Zivot, Working paper, Department of Economics, University of Washington.

      • paper: pdf

      • S-PLUS script for examples in paper: HFAnalysis.ssc

      • S-PLUS HF library: HFLibrary.SSC. Note: some of the functions in the HF library require the FinMetrics function diff.timeSeries and will not work without FinMetrics loaded. I am working on a pure S-PLUS version of the library that will work without FinMetrics. 

      • Data:,

    • "The Dynamics of Price Discovery," by Bingchen Yan and Eric Zivot, Working paper, Department of Economics, University of Washington.


The first printing is sold out. The second printing is now available. The book may be purchased online at

The paperback version of the book sells for about $60

FinMetrics 1.0

S+FinMetrics 1.0 is an S-PLUS module conceived by Andrew Bruce, Doug Martin, Jiahui Wang, Eric Zivot and developed by Insightful Corporation which provides advanced analytic-rich software for modeling, analyzing, and visualizing financial market data. The module incorporates functions from the following libraries

  • EVIS (extreme value analysis in S-PLUS) by Alexander McNeil

  • EVANESCA (extreme value and copula analysis in S-PLUS) by Rene Carmona

  • SsfPack (state space function package) by Siem Jan Koopman

  • Longmemory (long memory modeling) by Jan Beran

The software offers the most comprehensive, modern, and flexible analytic tool available for precise, predictive econometric modeling of financial time series.

Last updated: May 4, 2005

news | about | contents | scripts | corrections | additions | order | FinMetrics