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; FUNTA; rFUNTA; PRMLT Cited in: 41 Documents Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year Modeling financial time series with S-Plus. Zbl 1038.91071Zivot, Eric; Wang, Jiahui 2003 all top 5 Cited by 88 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, Yang 1 Yang, Yanrong 1 Zevallos, Mauricio 1 Zhang, Bo 1 Zhang, Wei 1 Zitikis, Ričardas all top 5 Cited in 29 Serials 3 Physica A 3 Insurance Mathematics & Economics 2 Journal of Econometrics 2 European Journal of Operational Research 2 Statistical Papers 2 Chaos 2 Journal of Computational and Graphical Statistics 1 Information Sciences 1 Journal of Multivariate Analysis 1 Journal of Statistical Planning and Inference 1 Computational Statistics 1 Communications in Statistics. Simulation and Computation 1 Communications in Statistics. Theory and Methods 1 Journal of Statistical Computation and Simulation 1 Computational Statistics and Data Analysis 1 Open Economies Review 1 Journal of Mathematical Sciences (New York) 1 Applied Mathematical Finance 1 Nonlinear Dynamics 1 CEJOR. Central European Journal of Operations Research 1 Brazilian Journal of Probability and Statistics 1 Scandinavian Actuarial Journal 1 Quantitative Finance 1 AStA. Allgemeines Statistisches Archiv 1 North American Actuarial Journal 1 Journal of the Korean Statistical Society 1 Electronic Journal of Statistics 1 The Annals of Applied Statistics 1 Statistics Surveys all top 5 Cited in 10 Fields 34 Statistics (62-XX) 19 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Probability theory and stochastic processes (60-XX) 3 Operations research, mathematical programming (90-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Geophysics (86-XX) 1 General and overarching topics; collections (00-XX) 1 Numerical analysis (65-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Systems theory; control (93-XX) Citations by Year