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

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New Material | Class Examples | Research | Textbook Examples

The field of financial econometrics is ever expanding with new statistical methods and applications. On this page you will find additional examples of using S-PLUS and S+FinMetrics™ for modeling financial time series, additional technical material on the statistical models covered in Modeling Financial Time Series with S-PLUS, Second Edition, technical material on new models, examples of academic research using S-PLUS and S+FinMetrics™, and examples from leading textbooks on time series and time series econometrics. Check this page frequently for updates.

Additional Examples and Technical Material

Time Series Regression
- Structural change estimation and tests
  - tvpTest.ssc. Nyblom's and Hansen's structural change tests.
  - structuralChange.ssc. Example script for lectures on structural change.
  - structuralChangeSlides1.pdf. Notes on testing for structural change.
  - structuralChangesSlides2.pdf. Notes on estimating linear models with structural change.
  - structuralChangeSlides3.pdf. Notes on estimating time varying parameter models.
Vector Autoregressive Models
- Price discovery measures (coming soon)
- Structural VAR models (coming soon)
State Space Models
- Structural time series models
  - Analysis of Structural Time Series Models Using SsfPack in S+FinMetrics™ 2.0
  - stsmExamples.ssc
- Stochastic volatility models (coming soon)
Nonlinear Models
- Markov switching models
  - Expanded discussion of Markov Switching models (coming soon)
  - markovSwitchingExamples.ssc
Efficient Method of Moments
- Stochastic volatility models (coming soon)
- Markov switching models (coming soon)
Value-at-Risk Modeling
- Market Risk Modeling in S-PLUS
- valueAtRiskDemo.ssc
High Frequency Data
- "An Analysis of High Frequency Data Using S-PLUS," by Bingchen Yan and Eric Zivot, Working paper, Department of Economics, University of Washington.
  - paper: 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 S+FinMetrics™ function diff.timeSeries and will not work without S+FinMetrics™ loaded. I am working on a pure S-PLUS version of the library that will work without S+FinMetrics™.
  - Data: eur_usd.zip, TAQ_MSFT_GE.zip

Examples from Eric Zivot's Finance and Econometrics Classes

Research Using S-PLUS and S+FinMetrics™

"The Clark Model with Correlated Components," with Kum Hwa Oh. Working paper, Department of Economics, January, 2006.
- paper: pdf.
- scripts:
"The Dynamics of Price Discovery," by Bingchen Yan and Eric Zivot, Working paper, Department of Economics, University of Washington, February 2006.
- paper:
- scripts:
"A Structural Analysis of Price Discovery Measures," by Bingchen Yan and Eric Zivot, Working paper, Department of Economics, University of Washington, February 2006.
- paper: structuralanalysispdmeasures.pdf.
- scripts:
State Space Modeling in Macroeconomics and Finance using SsfPack in S+FinMetrics™, by Eric Zivot, Jiahui Wang and Siem-Jan Koopman, in State Space and Unobserved Component Models: Theory and Applications, (edited by Andrew Harvey, Siem-Jan Koopman and Neil Shepard) Cambridge University Press, 2004.
- script files: StateSpaceSurvey.ssc; sv_mcl_est.ssc; ssfnong.ssc; checkSV.ssc
- log real GDP data: lngdpq.txt
"Why Are Beveridge-Nelson and Unobserved Components Decompositions of GDP So Different?" by James Morley, Charles R. Nelson and Eric Zivot. Review of Economics and Statistics, 2003.
- script files: BNdecomposition.ssc; ClarkUCModel.ssc; MNZUCModel.ssc.
- log real GDP data: lngdpq.txt
"An Analysis of High Frequency Data Using S-PLUS," by Bingchen Yan and Eric Zivot, Working paper, Department of Economics, University of Washington.
- paper: 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 S+FinMetrics™ function diff.timeSeries and will not work without S+FinMetrics™ loaded. I am working on a pure S-PLUS version of the library that will work without S+FinMetrics™.
- Data: eur_usd.zip, TAQ_MSFT_GE.zip

Examples from Leading Time Series Textbooks

State Space Models with Regime Switching: Classical and Gibbs Sampling Approaches

Chang-Jin Kim and Charles Nelson. MIT Press.

markovSwitchingExamples.ssc. S+FinMetrics functions for examples in the text written by Eric Zivot. Last updated: March 30, 2006.

Analysis of Financial Time Series, Second Edition

Ruey Tsay. John Wiley & Sons

Official book webpage. Contains data sets and some example programs.

Statistical Analysis of Financial Data

Rene Carmona. Springer-Verlag

copulaExamplesCarmona.ssc. S+FinMetrics functions for examples in Chapter 2 written by Eric Zivot. Last updated: March 30, 2006.
EVANESCA. This is the "public domain" version of the set of functions for fit and simulation of extreme value distributions and copulas.
safd. Free S-PLUS library and data sets to accompany the book.

Statistics and Finance: An Introduction

David Ruppert. Springer-Verlag.

SAF.zip (coming soon)

Quantitative Risk Management: Concepts, Techniques, and Tools

Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts. Princeton University Press.

QRMLib. Free S-PLUS library used for the examples in the book.

Market Models: A Guide to Financial Data Analysis

Carol Alexander. John Wiley & Sons.

marketModelsChapter4.ssc (coming soon)
marketModelsChapter5.ssc (coming soon)
marketModelsChapter6.ssc (coming soon)
marketModelsChapter7.ssc (coming soon)

Note: the data used in the above scripts are taken from the Excel spreadsheets that are on the market models CD that is included with the pruchase of the book. The script files have instructions for reading this data into S-PLUS from the Excel spreadsheets. I do not have permission to redistribute this data, so I have not posted the data in S-PLUS format.

Last updated: August 25, 2006

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