Modeling Financial Time Series with S-PLUS^®, Second Edition

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The following S-PLUS script files were used to create the examples presented in the book. The use of the script files requires S-PLUS 7.0 and S+FinMetrics™ 2.0. See the S+FinMetrics page for information about how to acquire S-PLUS 7.0 and S+FinMetrics™. Almost all of the data required for the examples is included with the S+FinMetrics 2.0 module. Some additional functions used in Chapter 20, and some additional data required for the examples in Chapter 22 and Chapter 23 are provided below.

Chapter 2: Time Series Manipulation
Chapter 3: Time Series Concepts
Chapter 4: Unit Root Tests
Chapter 5: Modeling Extreme Values
Chapter 6: Time Series Regression
Chapter 7: Univariate GARCH
Chapter 8: Long Memory
Chapter 9: Rolling Analysis
Chapter 10: Systems of Regression Eqations
Chapter 11: VAR Models
Chapter 12: Cointegration
Chapter 13: Multivariate GARCH
Chapter 14: State Space Models
Chapter 15: Factor Models
Chapter 16: Term Structure
Chapter 17: Robust Change Detection
Chapter 18: Nonlinear Models
Chapter 19: Copulas. Updated March 30, 2006.
Chapter 20: Continuous Time Financial Models
- Gensim functions not included in S+FinMetrics 2.0 (OU.aux, OU.gensim, CIR.aux, CIR.gensim): GuyYollin_gensim.ssc; gensim_test.ssc
Chapter 21: Generalized Method of Moments
Chapter 22: Seminonparametric Conditional Density Models
- SNP objects not included in S+FinMetrics 2.0. Use the S-PLUS function data.restore to load these "SNP" objects.
- Data for examples not included in S+FinMetrics 2.0. Use the S-PLUS function data.restore to load these "timeSeries" objects.
Chapter 23: Efficient Method of Moments
- Interest rate data used for estimation of CKLS model: ckls.dmp. Use the S-PLUS function data.restore to load this "timeSeries" object.

Last updated: March 11, 2006

Modeling Financial Time Series with S-PLUS®, Second Edition

Scripts

Modeling Financial Time Series with S-PLUS^®, Second Edition