Modeling Financial Time Series with S-PLUS®
Publication year: 2006
ISBN: 978-0-387-32348-0
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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. This is the first book to show the power of S-PLUS for the analysis of time series data.It covers S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments.
Subject: Mathematics and Statistics, Time series, calculus, econometrics, modeling, statistics, visualization
