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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.

Modeling Financial Time Series with S-Plus

S and S-PLUS.- Time Series Specification, Manipulation and Visualization in S-PLUS .- Time Series Concepts.- Unit Root Tests.- Modeling Extreme Values.- Time Series Regression Modeling.- Univariate GARCH Modeling.- Long Memory Time Series Modeling.- Rolling Analysis of Time Series.- Systems of Regression Equations.- Vector Autoregressive Models for Multivariate Time Series.- Cointegration.- Multivariate GARCH Modeling.- State Space Models.- Factor Models for Asset Returns.- Term Structure of Interest Rates.- Robust Change Detection.- Nonlinear Time Series Models.- Copulas.- Continuous-Time Models for Financial Time Series.- Generalized Method of Moments.- Semi-Nonparametric Conditional Density Models.- Efficient Method of Moments.