Modeling Financial Time Series with S-PLUS® |  | Authors: Eric Zivot, Jiahui Wang
Publisher: Springer
List Price: $89.95
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Rating:  8 reviews
Sales Rank: 409298
Media: Paperback
Edition: 2nd
Pages: 1002
Number Of Items: 1
Shipping Weight (lbs): 3.1
Dimensions (in): 9.3 x 6.1 x 2
ISBN: 0387279652
Dewey Decimal Number: 332.0151955
EAN: 9780387279657
ASIN: 0387279652
Publication Date: August 3, 2006
Availability: Usually ships in 1-2 business days
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Product Description
The field of financial econometrics has exploded over the last decade 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 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 Second Edition is updated to cover 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. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
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Showing reviews 1-5 of 8
 Indispensible October 26, 2008
Scott C. Nelson (San Diego, CA)
1 out of 1 found this review helpful
Just to be clear: buying this book does not mean you are buying S+Finmetrics. You need to purchase Splus base + the Finmetrics module separately. Unfortunately I tried to call SPLUS (twice) to obtain an academic license, and no one ever called me back. I ended up getting a copy from my university.
I wish SPLUS would set up an online download, where I can simply pay with a credit card and download the product immediately, instead of dealing with sales people. That's a very archaic distribution system in my opinion.
But this review is about this book. In fact, this book is AMAZING. It is basically a unique combination of a S+Finmetrics userguide and a primer on financial econometrics. It covers virtually all aspects of modern financial econometrics with an emphasis on practical examples. Theory is discussed to illustrate and motivate the examples. There are no proofs. If you want understand, say, a Vector Autoregression foreasting error decomposition, are you going to slog through Hamilton's "Time Series Analysis" and try to implement it on your own? No, you are going to turn to the nice tidy description in Ch11 of this book, and then call the "fevd" method, so you know what is doing and how to interpret the results.
A note on R vs. S+Finmetrics: much of the functionality in S+ Finmetrics is available in R, it's just spread across a lot of different packages. The advantage of a commercial product such as S+ Finmetrics is that it consolidates these packages, and provides (more or less) standardized methods and classes to support them.
For example, in R it is possible to fit a long memory ARIMA model using the function fracdiff. However in R the function fracdiff does not return residuals, the inclusion of exogenous x variables or support forecasting (no predict method). In SPLUS, the same function (FARIMA) returns all of these.
Good summary of models and live examples August 14, 2007
N. Tuzov (Baltimore, MD, USA)
1 out of 1 found this review helpful
I'd like to do some comparative analysis here: Matlab's GARCH Toolbox has GARCH, GJR(TGARCH), EGARCH specifications for the volatility term. A single (out of many more) procedure "garch" in S+Finmetrics has that plus PGARCH and three GARCH-M options. Given how expensive Matlab GARCH Toolbox is, none could hope to get a more advanced S+Finmetrics pack for $57. I guess the people who expected otherwise knew nothing about SPLUS and wrongly assumed that "base" SPLUS is the econometric package in question.
Apart from that, I side with Yin Luo: this book is a good mixture of basic theory and fairly complicated, real-life examples. Actually, it can even be used as a tool to refresh one's theoretical "model specification database" because it covers a wide range of many families of models in a single book. However, being mainly a S+FinMetrics manual, it doesn't go so far as to teach you the model selection. For that, a good addition would be Analysis of Financial Time Series (Wiley Series in Probability and Statistics).
Great applied econometrics book, even without FinMetrics! October 8, 2006
B. Peterson (Chicago, IL USA)
5 out of 7 found this review helpful
Zivot and Wang have done a phenomenal job of covering intermediate to advanced topics in econometrics along with the S programming language. Extensive literature reviews are coupled with robust examples and mathematics, and topped off with S code. I am a quantitative hedge fund manager, and I use the Open Source R package [..] and RMetrics [..]. I can adapt every single excercise in "Modeling Financial Time Series with S-PLUS" to use in R, and make use of them in my work. If I have one complaint it is that the book does not cover non-linear models like quantile regression or least squares, or optimization for much more than trivial two or three asset portfolios.
 Deceptive Title January 29, 2005
Another Disappointed Reader
7 out of 13 found this review helpful
As other reviewers have mentioned, this book is useless without FinMetrics. It is merely a user manual for that package, and has hardly any intrinsic value on its own.
 Useless without FinMetrics module October 27, 2003
12 out of 16 found this review helpful
This book is useless without the S+FinMetrics module.I wish I knew that in advance. Moreover, you can download it for free on www.insightful.com
Showing reviews 1-5 of 8
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