Code Box for Financial Time Series, Wharton Undergraduate Course (Stat 434 J. Michael Steele), S-Plus ARIMA models, cointegration, GARCH models, Kelly-Breiman, time series regression

Code Box Index (Stat 434 Wharton)

Getting S-Plus and Finmetrics --- and General S Information

This post may be changed before class on Wednesday, so do revisit this page after class.

Prior to class two , you will need to download S-Plus Finmetrics from the Special S-Plus Download Site. You will be prompted to install S-Plus and you will see the opportunity to install additional modules. The only module we need is called Finmetrics. To make these work you will need to input the LACs (License Activation Codes). I will tell you these codes in class, you should not need any other Registration codes or Serial Numbers. If you run into shags (which I hope you won't), our course TA can help you out.

There are also information sheets on installing S-Plus and installing the Finmetrics modules.

Some Guides to S-Plus

We will cover what we need to know about S-Plus in class, but if you want a further resource, you might take at look at Patrick Burn's A Guide for the Unwilling S User. Now there is no one among us who is in anyway unwilling, so the title is a bit off putting. Still, it does provide a quick no frills command line introduction to S.

A more complete tutorial --- one with all of the basis S knowledge that we'll need is the Dalhousie S Tutorial. This is still brief, but it does cover functions, loops and conditionals. It will be useful for you after you have a week or more experience, but if you dig into it immediately, you may just get yourself needlessly confused.

For the purely "Finmetrics" side of things, you can look to Zivot and Wang for more detailed information. In fact, the code examples that we do in class will cover almost all your needs. The only exception might be when you start to work on your final projects. By that time many of the students in the class will have turned themselves into S-Plus sophisticates.

The Code Box --- Resources and Examples---S Plus for Statistics 434---

Stat 434 Financial Time Series ---

J. Michael Steele

Code Box Index (Stat 434 Wharton)

Getting S-Plus and Finmetrics --- and General S Information

Some Guides to S-Plus

Links of Note

Code Fragments