Modeling Financial Time Series with S-PLUS

Rating:
Summary: Deceptive Title
Review: As other reviewers have mentioned, this book is useless without FinMetrics. It is merely a user manual for that package, and has hardly any intrinsic value on its own.

Rating:
Summary: Combines theory and practice
Review: The best thing about this book is that it combines financial time series analysis with "real-life" examples that are either reproducible or easily adaptable. Being that it is also the user manual for the S+FinMetrics module for the SPLUS stats. package it also reads like a software manual (some people like that). This book provides a good sample of many time series techniques that can be applied out of the box.
Note: The S+FinMetrics module includes this book.

Rating:
Summary: WITHOUT S+FinMetrics module
Review: This book does NOT come with the S+FinMetrics module. This book contains reviews of advanced time series theory, however, without S+FinMetrics module some part of the book is not insightful. This book is also not of financilal econometrics because there is no financial theory. This is a very good time series book if it comes with S+FinMetrics module.

Rating:
Summary: Useless without FinMetrics module
Review: This book is useless without the S+FinMetrics module.I wish I knew that in advance. Moreover, you can download it for free on www.insightful.com

Rating:
Summary: This is the best applied financial econometrics book.
Review: This is an excellent book on financial econometrics, very practical yet rigorous. I wish all econometrics/statistics textbook could like this. Basic theory followed by practical examples - real life examples, not simplified ones like in other books. The authors gave detailed instructions on how to implement various econometric models, i.e. multi-factor models, GARCH, MGARCH, long memory models, state-space, etc. Most econometrics textbooks are at two extremes, they are either too theoretical (you still don't know how to put those models in real life), or too simple (lack of mathematical rigor and without advanced applications). This book is a combination of both worlds, computer codes/math models, and real life examples (some really good ones). A lot of cutting-edge techniques and advanced topics are also covered.