By Eric Zivot
This publication represents an integration of concept, tools, and examples utilizing the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the perform of monetary econometrics. it's the first publication to teach the facility of S-PLUS for the research of time sequence facts. it's written for researchers and practitioners within the finance undefined, educational researchers in economics and finance, and complex MBA and graduate scholars in economics and finance.
Readers are assumed to have a uncomplicated wisdom of S-PLUS and a superior grounding in easy facts and time sequence thoughts. This variation covers S+FinMetrics 2.0 and contains new chapters.
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Extra info for E Modeling Financial Time Series with S-Plus
2 The Specification of “timeSeries” Objects in S-PLUS 35 Disaggregating Time Series Consider the problem of creating a daily “timeSeries” of inflation adjusted (real) prices on Microsoft stock over the period January 2, 1991 through January 2, 2001. g. the consumer price level (CPI). dat. The CPI data, however, is only available monthly. dat)  Nov 2001 and represents the average overall price level during the month but is recorded at the end of the month. 9 To compute real daily prices on Microsoft stock, the monthly CPI data in the “timeSeries” object cpi must be disaggregated to daily data.
The simple two-period return on an investment in an asset between times t − 2 and t is defined as Pt − Pt−2 Pt = −1 Pt−2 Pt−2 Pt−1 Pt · −1 = Pt−1 Pt−2 = (1 + Rt )(1 + Rt−1 ) − 1. Rt (2) = Then the simple two-period gross return becomes 1 + Rt (2) = (1 + Rt )(1 + Rt−1 ) = 1 + Rt−1 + Rt + Rt−1 Rt , which is a geometric (multiplicative) sum of the two simple one-period gross returns and not the simple sum of the one period returns. If, however, Rt−1 and Rt are small then Rt−1 Rt ≈ 0 and 1 + Rt (2) ≈ 1 + Rt−1 + Rt so that Rt (2) ≈ Rt−1 + Rt .
These manipulations include aggregating and disaggregating time series, handling of missing values, creations of lags and diﬀerences and asset return calculations. The chapter ends with an overview of time series visualization tools and techniques, including the S-PLUS plotting functions for “timeSeries” as well as specialized plotting functions in S+FinMetrics. 2 The Specification of “timeSeries” Objects in S-PLUS Financial time series data may be represented and analyzed in S-PLUS in a variety of ways.