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Eric Zivot
Economics 483
Applied Econometric Modeling in Finance

S-PLUS

Fall 2003

Last updated: December 8, 2003

Introduction

This page contains S-PLUS scripts to go along with the examples in my lecture notes. Many of the scripts utilize the special timeDate and timeSeries classes in S-PLUS 6, which are documented in chapters 15 and 16 of the S-PLUS Guide to Statistics Vol 2 (all S-PLUS documentation is available from the online help).  A general introduction is also available in chapter 2 of my book Modeling Financial Time Series with S-PLUS. The examples also utilize many of the functions in the S+FinMetrics module, which is not included with the base installation of S-PLUS. S+FinMetrics is included with the University of Washington S-PLUS site license package, and is also installed with S-PLUS on the computers in the CSSCR network. S+FinMetrics is not provided with the free student version of S-PLUS.

David Smith's S-PLUS in Finance Notes

These notes provide a gentle introduction to S-PLUS, together with some simple examples from Finance. They were prepared for a short course on the use of S-PLUS in Finance given by David Smith in 1999, and are based on S-PLUS 2000 for windows. They are a good supplement to the material in The Basics of S-PLUS by Krause and Olson.

• Notes
• Data

Descriptive Statistics

• descriptiveStatistics.ssc

CER Model

• cerModelExamples.ssc
• bootStrap.ssc

Portfolio Theory

• portfolio.ssc
• tangency.ssc

Single Index Model

• singleIndex.ssc

• hypothesisTesting.ssc

• rolling.ssc

• siPortfolio.ssc

CAPM

• testCAPM.ssc

Multi Index (Factor) Models

• factorModel.ssc