Examples | Research
| Textbook Examples
The field of financial econometrics is ever expanding with
new statistical methods and applications. On this page you will find
additional examples of using S-PLUS and S+FinMetrics™ for modeling financial
time series, additional technical material on the statistical models covered
Financial Time Series with S-PLUS, Second Edition, technical material
on new models, examples of academic research using S-PLUS and S+FinMetrics™,
and examples from leading textbooks on time series and time series
econometrics. Check this page frequently for updates.
"The Clark Model with
Correlated Components," with Kum Hwa Oh. Working paper, Department
of Economics, January, 2006.
"The Dynamics of Price
Discovery," by Bingchen Yan and Eric Zivot, Working paper,
Department of Economics, University of Washington, February 2006.
"A Structural Analysis of Price
Discovery Measures," by Bingchen Yan and Eric Zivot, Working
paper, Department of Economics, University of Washington, February
State Space Modeling
in Macroeconomics and Finance using SsfPack in S+FinMetrics™, by
Eric Zivot, Jiahui Wang and Siem-Jan Koopman, in State Space and
Unobserved Component Models: Theory and
Applications, (edited by Andrew Harvey, Siem-Jan Koopman
and Neil Shepard) Cambridge University Press,
"Why Are Beveridge-Nelson and Unobserved Components
Decompositions of GDP So Different?" by James Morley, Charles R.
Nelson and Eric Zivot. Review of Economics and Statistics,
"An Analysis of High Frequency
Data Using S-PLUS," by Bingchen Yan and Eric Zivot, Working paper,
Department of Economics, University of Washington.
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
function diff.timeSeries and will not work without
loaded. I am working on a pure S-PLUS version of the library that
will work without S+FinMetrics™.
State Space Models with Regime Switching:
Classical and Gibbs Sampling Approaches
Chang-Jin Kim and
Charles Nelson. MIT Press.
Analysis of Financial Time Series,
Tsay. John Wiley & Sons
Statistical Analysis of Financial Data
Rene Carmona. Springer-Verlag
S+FinMetrics functions for examples in Chapter 2 written by Eric
Zivot. Last updated: March 30, 2006.
EVANESCA. This is the "public domain" version of the set
of functions for fit and simulation of extreme value distributions
safd. Free S-PLUS library and data sets to accompany the book.
Statistics and Finance: An Introduction
David Ruppert. Springer-Verlag.
Quantitative Risk Management: Concepts,
Techniques, and Tools
Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts. Princeton
Free S-PLUS library used for the examples in the book.
Market Models: A Guide to Financial Data
Carol Alexander. John Wiley & Sons.
marketModelsChapter4.ssc (coming soon)
marketModelsChapter5.ssc (coming soon)
marketModelsChapter6.ssc (coming soon)
marketModelsChapter7.ssc (coming soon)
Note: the data used in the above scripts are taken from the Excel
spreadsheets that are on the market models CD that is included with
the pruchase of the book. The script files have instructions for
reading this data into S-PLUS from the Excel spreadsheets. I do not
have permission to redistribute this data, so I have not posted the
data in S-PLUS format.
Last updated: August 25,
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