Economics 512: Financial Econometrics

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Last updated: April 9, 2008

Introduction | Short Course | Smith Notes | MFTS Examples | Class Examples

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 introduced 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 new provided with the free student version of S-PLUS which is available from e-academy.

S-PLUS Short Course

This is a short course on using S-PLUS for finance put together by Chris Green (PhD student in UW stat dept) for the Graduate Certificate in Computational Finance.

Lectures 1-5 (All in PowerPoint 2003 Format)

• Lecture 1: Introduction
• Lecture 2: S-PLUS Environment
• Lecture 3a: Importing and Exporting Data
• Lecture 3b: Objects and Data Structures
• Lecture 3c: Manipulating Data
• Lecture 4: Functions and Operators—Overview
• Lecture 5a: Functions and Operators—Built-In Operators
• Lecture 5b: Functions and Operators—Built-In Functions

Exercises (All in Word 2003)

• Introductory Session.
• Exercises for Lecture 2.
• Exercises for Lecture 3.
• Exercises for Lecture 4.
• Exercises for Lecture 5.

Scripts

Data

Lectures 6 - 10 (All in PowerPoint 2003 Format)

• Lecture 6: Functions and Operators—Writing Scripts and Functions
• Lecture 8: Traditional Graphics
• Lecture 9: Trellis Graphics—Overview
• Lecture 10: Visualizing timeSeries objects.
• seriesPlot documentation (for Heiko Bailer's modified seriesPlot)

Exercises (All in Word 2003)

• Exercises for Lecture 6.
• Exercises for Lecture 8.
• Exercises for Lecture 9.
• Exercises for Lecture 10.

Scripts

Data

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.

• financeManual.zip (notes and data in zip format)

MFTS Examples

Script files from my book Modeling Financial Time Series with S-PLUS, Second Edition.

• 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

• 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.

Class Examples

The following script files are used to create the examples used in class and presented in the class slides.

Time Series Concepts

• Powerpoint slides illustrating timeDate and timeSeries objects in S-PLUS and S+FinMetrics
• Example scripts: exampleTimeSeriesObjects.ssc, exercisesTimeSeries.ssc

Extreme Value Theory

Volatility Models

High Frequency Data

Continuous Time Models