Home
Classes
Research
Software
Links

Eric Zivot's
S-Plus Resources

Insightful, Inc

• Insightful, Inc (formally MathSoft)

• Free student version of S-PLUS 6.1 available for download.

Learning S-Plus

• S for the unwilling, by Patrick Burns

• S Poetry (from Patrick Burn's website select S Poetry)

• A Short course on S-PLUS for Finance, by David Smith of Insightful Corportation (based on S-PLUS 2000). Data used in course.

• Bill Venables and Brian Ripley

• Program documentation in .pdf files (from Insightful site)

• Books and resources (from Insightful site)

S-Plus Code for Econometrics

• S+FinMetrics. New Insightful module for financial data analysis and financial econometrics.

• Roger Koenker's quantile regression code and other stuff.

• Bayesian Communication in the Social Sciences (BACC) software developed by John Geweke and Siddhartha Chib. 

• Mike West's Bayesian Dynamic Linear Model software

  • Software for Nonstationary Time Series Analysis and Decomposition 

  • Software for Autoregressive Component Models, incorporating model uncertainty and unit roots in time series 

  • Applied Bayesian Forecasting with BATS software 

• SPLUSTS S-PLUS Functions for Time Series Analysis developed by W.Q. Meeker. 

• Paul Gilbert's S-PLUS code for dynamic systems estimation. 

S-Plus Code for Finance

• Bingchen Yan and Eric Zivot's HF library for analysis of high-frequency financial data: 

  • User's Guide: hfanalysis.pdf

  • 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 FinMetrics function diff.timeSeries and will not work without FinMetrics loaded. I am working on a pure S-PLUS version of the library that will work without FinMetrics.

  • Data: eur_usd.zip, TAQ_MSFT_GE.zip

• Wolfgang Breyman's HFfinance library of tools for high frequency foreign exchange data and deseasonalization.

• Alexander McNeil's EVIS software, for extreme value methods in S-PLUS 

• Diethelm Würtz's Computational Physics & Econophysics course at ETH Zurich. Many interesting examples in S-PLUS and R.

• Stuart Coles' extreme value functions.

• Eric Zivot's portfolio theory applications: portfolio.ssc

• Eric Zivot's Splus examples used in Introduction to Computational Finance and Financial Econometrics. 

MISC S-Plus Code on the Web

• Statlib at Carnegie Mellon University

• Splus links from Insightful.

• Splus libraries, functions and Documentation from the University of Virginia Health Sciences Center.

• REGRESSION MODELING STRATEGIES With Applications to Linear Models, Logistic Regression, and Survival Analysis by FE Harrell.

• Last updated: March 22, 2004