By Eric Zivot
This publication represents an integration of concept, tools, and examples utilizing the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the perform of economic econometrics. it's the first ebook to teach the ability of S-PLUS for the research of time sequence information. it really is written for researchers and practitioners within the finance undefined, educational researchers in economics and finance, and complicated MBA and graduate scholars in economics and finance.
Readers are assumed to have a easy wisdom of S-PLUS and a superior grounding in easy data and time sequence strategies. This version covers S+FinMetrics 2.0 and comprises new chapters.
Read Online or Download Modeling Financial Time Series with S-PLUS® PDF
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Extra info for Modeling Financial Time Series with S-PLUS®
Sample text
1 Books In addition to the S-PLUS manuals, there are a number of good books on using and programming in S and S-PLUS as well as data and statistical analysis using S-PLUS. asp contains a listing of these books. Using and Programming S-PLUS Gentle introductions to S and S-PLUS are given in Spector (1994), Lam (2001) and Krause and Olson (2002). The details of version four of the S language are described in Chambers (1998), also known as the “green book”. An indispensable guide to programming in the S language is Venables and Ripley (2000).
The arguments expected by interpNA are 5 More sophisticated imputation methods for dealing with missing values are available in the library S+MISSINGDATA which is included with S-PLUS. 40 2. Time Series Specification, Manipulation, and Visualization in S-PLUS > args(interpNA) function(x, method = "spline") where x is a rectangular object and method sets the interpolation method. Valid interpolation methods are “before”, “after”, “nearest”, “linear” and (cubic) “spline”. 3 Time Series Manipulation in S-PLUS There are several types of common manipulations and transformations that often need to be performed before a financial time series is to be analyzed.
3 32 2. Time Series Specification, Manipulation, and Visualization in S-PLUS Another way to create the above annual time series is to use the S-PLUS aggregateSeries function with a user-written function to pick off December values. dat in blocks of year’s length. The function pickClose simply picks off the last value for the year. p is this value. The method described above may also be used to construct end-of-month closing price data from a “timeSeries” of daily closing price data. 99 adjusts the positions of the monthly data to the end of the month.
