S+FinMetrics™ Product Features

Time Series Tools

• Complete Date/Calendar Time Series Objects
  
• Aggregation and Disaggregation
  
• Missing Value Interpolation
  
• Technical Indicators
  
• Intra-day Moving Average

Statistics

• Statistical Summaries and Tests
  
• Extreme Value Theory
  
• Copula Modeling and Estimation

Econometric Estimation

• Generalized Method of Moments
  
• Efficient Method of Moments
  
• Linear and nonlinear SUR
  
• Vector Autoregressive Models (VARs)
  
• Bayesian VARs
  
• Vector Error Correction Models

Complex Dynamic Models

• Time series regression models
  
• Long memory models
  
• GARCH-type volatility models
  
• Affine term structure models
  
• State space models
  
• Nonlinear regime switching models

Strategies

• Rolling Estimation and Backtesting
  
• Multifactor Models
  
• Fixed Income Analysis

System Requirements

• S+FinMetrics™ 2.0 requires S-PLUS® 7.0
  
• Microsoft® Windows® XP, Windows 2000 or Windows 2003 Server (32-bit)
  
• Solaris 2.8, 2.9 (SPARC 32-bit)
• Red Hat® Enterprise 3 (32-bit)