用S-PLUS解决金融时间序列的一本很著名的书，很长，1000多页

作者：Eric Zivot Jiahui Wang

出版社：SPRINGER，他的书我就不说什么了

版本：第二版

contents

1 S and S-PLUS

2 Time Series Specification, Manipulation, and Visualization in S-PLUS

3 Time Series Concepts

4 UnitRoot Tests

5 Modeling Extreme Values

6 Time Series Regression Modeling

7 Univariate GARCH Modeling

8 Long Memory Time Series Modeling

9 Rolling Analysis of Time Series

10 Systems of Regression Equations

11 Vector Autoregressive Models for Multivariate Time Series

12 Cointegration

13 Multivariate GARCH Modeling

14 State Space Models

15 Factor Models for Asset Returns

16 Term Structure of Interest Rates

17 Robust Change Detection

18 Nonlinear Time Series Models

19 Copulas

20 Continuous-Time Models for Financial Time Series

21 Generalized Method of Moments

22 Seminonparametric Conditional Density Models

23 Ecient Method of Moments

Index