Springer图书： Modeling Financial Time Series with S-PLUS

• Chapter 2: Time Series Manipulation
• Chapter 3: Time Series Concepts
• Chapter 4: Unit Root Tests
• Chapter 5: Modeling Extreme Values
• Chapter 6: Time Series Regression
• Chapter 7: Univariate GARCH
• Chapter 8: Long Memory
• Chapter 9: Rolling Analysis
• Chapter 10: Systems of Regression Eqations
• Chapter 11: VAR Models
• Chapter 12: Cointegration
• Chapter 13: Multivariate GARCH
• Chapter 14: State Space Models
• Chapter 15: Factor Models
• Chapter 16: Term Structure
• Chapter 17: Robust Change Detection
• Chapter 18: Nonlinear Models
• Chapter 19: Copulas. Updated March 30, 2006.
• Chapter 20: Continuous Time Financial Models
o Gensim functions not included in S+FinMetrics 2.0 (OU.aux, OU.gensim, CIR.aux, CIR.gensim): GuyYollin_gensim.ssc; gensim_test.ssc
• Chapter 21: Generalized Method of Moments
• Chapter 22: Seminonparametric Conditional Density Models
o SNP objects not included in S+FinMetrics 2.0. Use the S-PLUS function data.restore to load these "SNP" objects.
o Data for examples not included in S+FinMetrics 2.0. Use the S-PLUS function data.restore to load these "timeSeries" objects.
• Chapter 23: Efficient Method of Moments
o Interest rate data used for estimation of CKLS model: ckls.dmp. Use the S-PLUS function data.restore to load this "timeSeries" object.