S+FinMetrics 2.0: Advancing the State of the Art in Modeling Financial Time Series

Presented: May 17th, 2005

Speaker: Eric Zivot, University of Washington

Listen to the archived Web cast.

S+FinMetrics 2.0 offers is the most advanced collection of statistical tools for analyzing, modeling, predicting and visualizing financial market data. Combined with S-PLUS 7, it is the most comprehensive, modern, and flexible platform available for creating financial analytics solutions.

This webinar will first give an overview of S+FinMetrics, and then focus on new features implemented in S+FinMetrics 2.0 including:

• Nonlinear regime switching models
  
• Continuous-time financial modeling tools
  
• Generalized method of moments and efficient method of moments estimation techniques
  
• Improved methods for specifying and estimating copulas

All the new features S+FinMetrics 2.0 are described the forthcoming Second Edition of Modeling Financial Time Series with S-PLUS, by Eric Zivot and Jiahui Wang (to be published by Springer-Verlag).

Presenter Information

Dr. Eric Zivot is an Associate Professor and Gary Waterman Distinguished Scholar in the Economics Department at the University of Washington, and Adjunct Associate Professor of Finance in the Business School. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an Associate Editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals including Econometrica, Econometric Theory, Journal of Business and Economic Statistics, Journal of Econometrics, and The Review of Economics and Statistics.