This book is a guide to analyzing and modeling financial time series using S-PLUS and
S+FinMetrics. It is a unique blend of econometric theory, financial models, data analysis, and
statistical programming. It serves as a user’s guide for Insightful’s S+FinMetrics module of
statistical functions for financial time series analysis and financial onometrics as well as a
general reference for models used in applied financial econometrics. The ormat of the
chapters in the book is to give a reasonably complete description of a statistical model and
how it works followed by illustrations of how to analyze the model using S-PLUS and the
functions in S+FinMetrics. In this way, the book stands alone as an introduction to financial
time series analysis as well as a user’s guide for S+FinMetrics. It also highlights the general
analysis of time series data using the new time series objects introduced in S-PLUS 6.