DOI 10.1007/s10182-006-0013-y

B O O K R E V I E W

Allgemeines Statistisches Archiv (2006) 90: 631–632

Zivot Eric and Jiahui Wang, Modeling Financial TimeSeries with S-PLUSSpringer, Berlin Heidelberg 2006, xxii+998 pp., EUR 64.15,ISBN 0-387-27965-2

Matthias Fischer

Published online: 2 November 2006© Springer-Verlag 2006

Analyzing financial time series has been enjoying increasing popularity over thelast decade. In this context, the fields of financial econometrics and empirical fi-nance have exploded. The book under review covers many of these different theoriesand methods. It uses the commercial S-PLUS modeling language and S+FinMetricsto help the reader become familiar with these concepts. Simultaneously, Zivot andWang’s book provides a user guide to Insightful’s S+FinMetrics, a comprehensivecollection of statistical functions for time series analysis and financial econometrics.

The intended audience comprises both researchers and practitioners in the financeindustry, academic researchers in financial econometrics, but also advanced and grad-uate students.

In order to familiarize the reader with S and S-PLUS, chapter 1 and 2 introducesome fundamental S-PLUS basics. In particular, the specification, manipulation andvisualization of time-series with S-PLUS is provided.

The remaining chapters could be divided into three major parts. Chapter 3 to chap-ter 9 are dedicated to standard univariate times series models (i. e. ARMA models,unit root tests, modeling extreme values, time series regression modeling, univariateGARCH modeling, long memory time series modeling and rolling analysis of timeseries). In contrast, chapter 10 to chapter 15 deal with standard multivariate models(i. e. systems of regression equations, vector autoregressive models, cointegration an-alysis, multivariate GARCH models, state space models and factor models for assetreturns). In the rest of the book (chapter 16 to 23), different advanced topics are cov-ered (i. e. term structure of interest rates, robust change detection, non-linear timeseries models, copulas, continuous-time models, generalized methods of moments,semiparametric conditional density models and efficient methods of moments).

M. Fischer (�)Nurnberg, Germanye-mail: Matthias.fischer@wiso.uni-erlangen.de

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632 Buchbesprechung

It should be pointed out that every chapter contains both theoretical backgroundmaterial and S-PLUS code and outputs, respectively. As almost every relevant topicfrom financial econometrics is under consideration, this book is a must for every per-son with empirical interest who has decided to use S, S-PLUS and S+FinMetrics asunderlying platform.

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