Finance Econometrics - Modelling Financial Time Series With S-Plus - E Zivot & J Wang - 2002.pdf

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Modelling Financial Time Series with
S-PLUS
Eric Zivot and Jiahui Wang
September 27, 2001
This version: May 22, 2002
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Contents
References 1
1 S and S-PLUS 3
........................... 3
S Objects............................ 4
Assignment....................... 4
Class........................... 5
Method......................... 8
Modeling Functions in S+FinMetrics ............ 10
Formula Specification................. 10
Method......................... 13
S-PLUS Resources........................ 14
2 Time Series Specification, Manipulation and Visualization
in S-PLUS 15
........................... 15
The Specification of “timeSeries”ObjectsinS-PLUS ... 15
BasicManipulations.................. 18
S-PLUS “timeDate”Objects.............. 19
mon “timeDate”Sequences...... 24
MiscellaneousTimeandDateFunctions....... 28
Creating “timeSeries”Objects........... 29
Aggregating and Disaggregating Time Series .... 30
MergingTimeSeries.................. 38
iv Contents
Dealing with Missing Values Using the S+FinMetrics
Function interpNA ................... 39
Time Series Manipulation in S-PLUS ............. 40
Creating Lags and Differences............. 40
Return Definitions................... 43
Asset Returns Using the S+FinMetrics
Function getReturns ................. 46
Visualizing Time Series in S-PLUS .............. 48
Plotting “timeSeries”UsingtheS-PLUS Generic
plot Function..................... 48
Plotting “timeSeries”UsingtheS+FinMetrics Trel-
lisPlottingFunctions................. 51
References 55
3 Time Series Concepts 57
........................... 57
..................... 58
StationaryandErgodicTimeSeries