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StFinMetrics

swMATH ID: 29976
Software Authors: Zivot, Eric; Wang, Jiahui
Description: Modeling financial time series with S-Plus. This book can be considered as a users guide for the StFinMetrics software. This software is an S-Plus module developed at the Insightful Corporation for the statistical analysis and modelling of financial time series. But the book can also be used as an introduction to the time series analysis which covers computational and interpretational aspects of the topics. A basic familiarity with S-Plus is needed for the reader. The authors consider such problems as testing for nonstationarity and cointegration; analysis of vector autoregressive and multivariate GARCH models; modelling of long memory time series (including fractional ARIMA and GARCH); time series regression modelling and systems of regression equations; state space models; factor models for asset returns; rolling analysis and change-point detection; modelling extreme values and risk measures. The book contains many examples of algorithms and S-Plus computational codes. Usage of algorithms and graphical tools is described with applications to real data.
Homepage: https://www.springer.com/de/book/9780387279657
Keywords: vector autoregression model; cointegration; multivariate GARCH; long memory time series; change-point detection; extreme values distribution; risk measurement
Related Software: R; astsa; S-PLUS; FinTS; Forecast; forecast; ElemStatLearn; freqdom.fda; Rainbow; fda (R); S+FinMetrics; imputeTS; ISLR; vars; GraphScope; Brain Connectivity Toolbox; factorcpt; rFUNTA; FUNTA; PRMLT
Cited in: 41 Publications

Standard Articles

1 Publication describing the Software, including 1 Publication in zbMATH Year
Modeling financial time series with S-Plus. Zbl 1038.91071
Zivot, Eric; Wang, Jiahui
2003
all top 5

Cited by 87 Authors

4 Wang, Jun
3 Shang, Han Lin
3 Zivot, Eric
2 Hotta, Luiz Koodi
2 Laurini, Márcio Poletti
2 Wang, Jiahui
1 Aknin, Patrice
1 Altun, Emrah
1 Appice, Annalisa
1 Beran, Jan
1 Bilancia, Massimo
1 Bilokon, Paul Alexander
1 Böhmelt, Tobias
1 Campbell, Benjamin W.
1 Carrizosa, Emilio
1 Chen, Xinfu
1 Christou, Vasiliki
1 Civantos, I.
1 Cranmer, Skyler J.
1 Creal, Drew D.
1 Cribben, Ivor
1 Davis, Ginger M.
1 Densing, M.
1 Duchesne, Pierre
1 Eichler, Michael
1 El Assaad, Hani
1 Engler, David A.
1 Erhardt, Robert J.
1 Fang, Wen
1 Feng, Yuanhua
1 Fokianos, Konstantinos
1 Fosdick, Bailey K.
1 García-Algarra, Javier
1 Gel, Yulia R.
1 Gelfand, Alan Enoch
1 Ghosh, Sucharita
1 Goswami, Suchismita
1 Govaert, Gérard
1 Gwinnutt, James
1 Haberman, Steven
1 Hashorva, Enkelejd
1 Hegerl, Gabriele C.
1 Hewitson, Bruce
1 Heyde, Christopher Charles
1 Holan, Scott H.
1 Horváth, Lajos
1 Huang, Tingting
1 Jones, Daniel C.
1 Kokoszka, Piotr S.
1 Konstantakis, Konstantinos N.
1 Lennard, Chris
1 Ling, Hui ‘Fox’
1 Liu, Shuangzhe
1 Lopes, Sílvia R. C.
1 Lu, Yunfan
1 Lund, Robert B.
1 Malerba, Donato
1 Marrs, Frank W.
1 Michaelides, Panayotis G.
1 Moura, Marcelo
1 Niu, Hongli
1 Njenga, Carolyn Ndigwako
1 Ofori-Boateng, Dorcas
1 Oh, Kum Hwa
1 Olivares-Nadal, Alba V.
1 Papageorgiou, Theofanis
1 Polanco-Martínez, Josué M.
1 Prass, Taiane Schaedler
1 Pravilovic, Sonja
1 Ramírez-Cobo, Pepa
1 Samé, Allou
1 Sang, Huiyan
1 Sherris, Michael
1 Stanley, H. Eugene
1 Stone, Douglas B.
1 Sun, Bruce Qiang
1 Tchahou, Herbert Nkwimi
1 Tsionas, Efthymios G.
1 Wang, Guochao
1 Wang, Jie
1 Wang, Yiduan
1 Yang, Ge
1 Yang, Yanrong
1 Zevallos, Mauricio
1 Zhang, Bo
1 Zhang, Wei
1 Zitikis, Ričardas

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