Don't you need S-Plus Finmetrics to use the Zivot book? It is my
understanding that some but not all of the Finmetrics features are
available in R, including the Rmetrics project plus its and other
packages? And isn't the Carmona book written more for S-Plus than R?
Both books have received mixed reviews from readers on Amazon. (Zivot's
book is out in a new edition, for which Amazon currently lists no
reviews. However, reviewers for the earlier edition claimed that it is
useless "without S-Plus Finmetrics module", which does NOT come with the
It's quite difficult for me to recommend something without knowing
anything about your background. What do you know of statistical methods
generally and time series analysis in other contexts? For example, do
you have some appreciation for the contents of ch. 14 in Venables and
Ripley (2002) Modern Applied Statists with S (Springer)? If no, I
suggest you start there.
Also, have you worked through the vignettes associated with the "zoo"
package? If no, you might find that quite useful. [Are you aware that
edit(vignette(...)) will provide a script file with the R code discussed
in the vignette, which can be viewed in Adobe Acrobat while you are
working throught the examples line by line, modifying them, etc.? I've
found this to be very useful. If you use XEmacs, "edit(vignette(...))"
may not work. Instead, try Stangle(vignette(...)$file). This will copy
the R code to a file in the working directory, which you can then open.]
I've also found the dse bundle and its vignettes very interesting and
useful. Beyond that, you might try the Rmetrics project
In fact, the analysis of financial time series is actually a rather
broad field by itself. What specific kinds of things do you want to do?
After you've made some efforts in this area, I suggest you review the
posting guide! "www.R-project.org/posting-guide.html" and submit another
post targeted at something more specific.