Economics 512: Financial Econometrics 

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SPLUS HintsLast updated: April 9, 2008 Introduction  Short Course  Smith Notes  MFTS Examples  Class Examples IntroductionThis page contains SPLUS scripts to go along with the examples in my lecture notes. Many of the scripts utilize the special timeDate and timeSeries classes introduced in SPLUS 6, which are documented in chapters 15 and 16 of the SPLUS Guide to Statistics Vol 2 (all SPLUS documentation is available from the online help). A general introduction is also available in chapter 2 of my book Modeling Financial Time Series with SPLUS. The examples also utilize many of the functions in the S+FinMetrics module, which is not included with the base installation of SPLUS. S+FinMetrics is included with the University of Washington SPLUS site license package, and is also installed with SPLUS on the computers in the CSSCR network. S+FinMetrics is new provided with the free student version of SPLUS which is available from eacademy. SPLUS Short CourseThis is a short course on using SPLUS for finance put together by Chris Green (PhD student in UW stat dept) for the Graduate Certificate in Computational Finance. Lectures 15 (All in PowerPoint 2003 Format)
Exercises (All in Word 2003)
Lectures 6  10 (All in PowerPoint 2003 Format)
Exercises (All in Word 2003)
David Smith's SPLUS in Finance NotesThese notes provide a gentle introduction to SPLUS, together with some simple examples from Finance. They were prepared for a short course on the use of SPLUS in Finance given by David Smith in 1999, and are based on SPLUS 2000 for windows. They are a good supplement to the material in The Basics of SPLUS by Krause and Olson.
MFTS ExamplesScript files from my book Modeling Financial Time Series with SPLUS, Second Edition.
Class ExamplesThe following script files are used to create the examples used in class and presented in the class slides. Time Series Concepts
Extreme Value TheoryVolatility ModelsHigh Frequency DataContinuous Time Models 