Modeling Financial Time Series with S-PLUS®

by Eric Zivot, Jiahui Wang

This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. It is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This edition covers S+FinMetrics 2.0 and includes new chapters.

1020 pages, Paperback

First published January 1, 2002

Reviews

[Ci · Rating 3 out of 5]

The definitive S-plus reference for modeling in Time Series.

[Saruul · Rating 5 out of 5]

Eric Zivot is always great at breaking down complicated topics. His explanations are elegant and intuitive.