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**Modeling financial time series with S-PLUS.
2nd ed.**
*(English)*
Zbl 1092.91067

New York, NY: Springer (ISBN 0-387-27965-2/pbk). xxii, 998 p. (2006).

This is the second edition of [Zbl 1038.91071] (2003) devoted to a new 2.0 version of S+FinMetrix module of statistical functions for financial time series analysis and financial econometrics. It can be used as the users guide for S+FinMetrix and as a general reference for financial statistics on S-PLUS. The book covers a variety of topics in statistical analysis and visualization of time series including unit root tests, cointegration, regression equations, classical and Bayes vector autoregressive models, multivariate GARCH and state space models. Technical analysis of financial time series and moving average methods for high frequency data are also considered. New to the Second Edition are chapters 18 through 23 which cover nonlinear regime switching models, copulas, continuous-time models, the generalized method of moments, semi-nonparametric conditional density models, the efficient method of moments and simulated solutions to systems of stochastic differential equations. The S+FinMetrics is developed at Insightful Corporation (formerly MathSoft Inc.), it’s website is located at http://www.insightful.com/support/finmetrics20.

Reviewer: R. E. Maiboroda (Kyïv)

### MSC:

91-02 | Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance |

91B84 | Economic time series analysis |

62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |

62P05 | Applications of statistics to actuarial sciences and financial mathematics |