By Zivot E., Wang J.
This e-book 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 economic econometrics. this can be the 1st e-book to teach the facility of S-PLUS for the research of time sequence info. it's written for researchers and practitioners within the finance undefined, educational researchers in economics and finance, and complicated MBA and graduate scholars in economics and finance. Readers are assumed to have a simple wisdom of S-PLUS and a high-quality grounding in easy facts and time sequence recommendations.
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This textbook is designed for the inhabitants of scholars we've got encountered whereas instructing a two-semester introductory statistical tools direction for graduate scholars. those scholars come from various examine disciplines within the usual and social sciences. many of the scholars don't have any previous heritage in statistical equipment yet might want to use a few, or all, of the systems mentioned during this publication ahead of they entire their experiences.
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Additional resources for Modeling Financial Time Series with S-PLUS
Origin=c(month=12,day=1,year=1999),zone="GMT") > td[1:2]  12/1/99 9:33:32 AM 12/1/99 9:33:34 AM The function timeDate can create a “timeDate” sequence using Julian date and millisecond information. origin, and the argument ms takes an integer vector containing the number of milliseconds since midnight. origin is speciﬁed as December 1, 1999 and the optional argument zone is used to set the time zone to GMT. 6 Aggregating and Disaggregating Time Series Often a regularly spaced ﬁnancial time series of a given frequency may need to be aggregated to a coarser frequency or disaggregated to a ﬁner frequency.
Bruce, A. -Y. Gao (1996). Applied Wavelet Analysis with SPLUS. Springer-Verlag, New York. Carmona, R. (2004). Statistical Analysis of Financial Data in S-PLUS. Springer-Verlag, New York. 14 1. M. (1998). Programming with Data. Springer-Verlag, New York. Chambers, J. , and Hastie, T. J. (1993). Statistical Models in S. Chapman & Hall. H. (2002). Time Series: Applications to Finance. John Wiley & Sons, New York. C. V. Hinkley (1997). Bootstrap Methods and Their Application. Cambridge University Press, Cambridge, UK.
To see how a time zone speciﬁcation aects a timeDate object, consider what 2 On Windows platforms, the time zone speciﬁcation is obtained from the Windows regional settings. S. Paciﬁc time zone. Therefore, the default time zone taken from the Windows regional settings is “Paciﬁc”. 22 2. Data []:  15341 []:  28800000 Since US Eastern Time is three hours ahead of US Paciﬁc Time the displayed date is moved ahead three hours. That is, midnight US Paciﬁc Time on January 1, 2002 is the same as 3 AM US Eastern Time on January 1, 2002.