CHAPTER 4: "MODELLING FINANCIAL LOG-RETURN SERIES USING WAVELETS AND RESCALED TIME"

The functions have been written in S and designed for S-Plus 2000. Additionally, some of the functions require WaveThresh3, a free add-on module for S-Plus written by Guy P. Nason.

Downloading and installing the functions and the data sets.

  1. Click here to download the archive "fints.zip".
  2. Extract the archive. You will obtain the file "fints".
  3. Run S-Plus and type (in Windows) "data.restore("D:\\PATH\\fints")", where D:\PATH is the directory containing "fints".
  4. The functions and the data sets are now available.

Alphabetic list of functions --- click on the name for help

Alphabetic list of data sets --- click on the name for description

Alphabetic list of time-varying local variance functions --- click on the name for description.