Modeling Financial Time Series with S-PLUS

November 12, 2008
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(This article was first published on Quantitative Finance Collector, and kindly contributed to R-bloggers)

Although S-plus is the most terrible language I have ever used in terms of debugging (I have to say that, no offense to S-plus fans, as my colleagues said, it is hard to understand it is still existed in 21 centuary), I found the S-plus scripts accompanying the book Modeling Financial Time Series with S-PLUS,  covering:

Time Series Manipulation, Time Series Concepts, Unit Root Tests,  Modeling Extreme Values, Time Series Regression, Univariate GARCH, Long Memory, Rolling Analysis, Systems of Regression Eqations, VAR Models, Cointegration, Factor Models, Term Structure, Copulas, Generalized Method of Moments, etc.

For detail please download at http://faculty.washington.edu/ezivot/MFTS2ndEditionScripts.htm
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