Modeling Financial Time Series with S-PLUS {Springer} - Eric Zivot & Jiahui Wang [Seduction28]

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 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 provides theoretical and empirical discussions on exhaustive topics in modern financial econometrics, statistics and time series. … it is definitely a good reference book for use in studying and/or researching in modern empirical finance … ." (T. S. Wirjanto, Short Book Reviews, Vol. 26 (1), 2006)

"...It is a pleasure to strongly recommend this text, and to include statisticians such as myself among the pleased audience." (Thomas L. Burr for Techommetrics, Vol. 49, No. 1, February 2007)

"Analyzing financial time series has been enjoying increasing popularity over the last decade. … The book under review covers many of these different theories and methods. … The intended audience comprises both researchers and practitioners in the finance industry, academic researchers in financial econometrics, but also advanced and graduate students. … As almost every relevant topic from financial econometrics is under consideration, this book is a must for every person with empirical interest who has decided to use S, S-PLUS and S+FinMetrics as underlying platform." (Matthias Fischer, Allgemeines Statistisches Archiv, Vol. 90, 2006)


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.

Jiahui Wang is a Principal and Trading Research Officer at Barclays Global Investors. He received a Ph.D. in Economics from the University of Washington in 1997. 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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