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Modeling
Financial Time Series with S-PLUS
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February 13, 2006.
Website for Modeling Financial Time Series with S-PLUS, Second
Edition is created.
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December 8, 2005. Modeling Financial Time Series
with S-PLUS, Second Edition is published by Springer-Verlag.
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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.
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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.
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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:
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improved coupla functionality
(numerical hessian computed for fit.copula(), compare fitted copulas
using information criteria, improved method functions for copula
objects)
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efficient unit root tests, variance
ratio tests, tests for nonlinearity (BDS, Tsay threshold, Hansen
threshold), tests for serial correlation in regression residuals
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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)
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nonlinear regime switching models
(threshold AR models, smooth transition threshold models, Markov
switching AR models, Markov switching state space models.
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numerical simulation of univariate
and multivariate stochastic differential equations (Euler's methods,
strong order 1 scheme, weak order 2 scheme)
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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)
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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)
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March 16, 2005. The
errata has been updated to reflect some newly found typos.
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January 17, 2005. The errata has been updated to
reflect some newly found typos.
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January 17, 2005. Archived Insightful webcast:
State Space Modeling in Finance Using S+FinMetrics by Eric Zivot.
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November 2, 2004. Insightful
announces S-PLUS
Predictive Modeling and Computational Finance Event for November 17
in New York.
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May 12, 2004. Archived
presentations from
Insightful's Statistical Modeling & Computation in Finance Event are
available.
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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.
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March 25, 2004. Archived
Insightful webcast:
Credit Risk Management in Retail Banking by Jan
Beran (author of long memory functions in FinMetrics).
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March 16, 2004. Archived
Insightful webcast:
Analysis of High Frequency Financial Data using S-PLUS by Eric
Zivot.
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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.
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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.
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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
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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.
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November 15, 2002. Jiahui Wang may be contacted at jwang@svolatility.com.
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November 14, 2002. Added script files for examples from
book and additional material.
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November 12, 2002. First customer review of book from
Amazon.com
Customer Reviews
Avg. Customer
Review: 
2 of 2 people found the
following review helpful:
This is the best applied financial econometrics book., October 28,
2002
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.
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.
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.
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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
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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.
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Additional examples and applications using S+FinMetrics
1.0 functions
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Research work performed using S+FinMetrics
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State Space Modeling
in Macroeconomics and Finance using SsfPack in S+FinMetrics, by
Eric Zivot, Jiahui Wang and Siem-Jan Koopman.
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"An Analysis of High Frequency
Data Using S-PLUS," by Bingchen Yan and Eric Zivot, Working paper,
Department of Economics, University of Washington.
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paper: pdf
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S-PLUS script for examples in paper: HFAnalysis.ssc
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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.
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Data: eur_usd.zip,
TAQ_MSFT_GE.zip
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"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
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
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EVIS (extreme value analysis in S-PLUS) by Alexander
McNeil
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EVANESCA (extreme value and copula analysis in S-PLUS)
by Rene Carmona
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SsfPack (state space function package) by Siem Jan
Koopman
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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
|
