Modeling Financial Time Series with S-PLUS

Eric Zivot · Jiahui Wang

nov 2013 · International Federation for Information Processing Libro 191 · Springer Science & Business Media

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Hui Huang with help from many people. In particular, Jan Beran wrote many of the long memory functions while acting as a consultant to Insight ful. Siem Jan Koopman helped to incorporate the SsfPack functions into S-PLUS and to write the chapter on state space models. Alexander McNeil and Rene Carmona graciously provided background material and S-PLUS examples for the material in the chapter on modeling extreme values. A number of people were helpful in proofreading the book and testing the soft ware. Particular thanks go to Andrew Bruce, Chuck Curry, Zhuanxin Ding, Ruud Koning, Steve McKinney, David Weitzel, Quan Wen and Bingcheng Yan. Typographical Conventions This book obeys the following typographic conventions: - The italic font is used for emphasis, and also for user-supplied vari ables within UNIX, DOS and S-PLUS commands. - The typewriter font is used for S-PLUS functions, the output of S-PLUS functions and examples of S-PLUS sessions. - S-PLUS objects of a specified class are expressed in typewriter font enclosed in quotations " ". For example, the S-PLUS timeSeries function creates objects of class "timeSeries."