facmodTS
Time Series Factor Models for Asset Returns
Supports teaching methods of estimating and testing time series factor models for use in robust portfolio construction and analysis. Unique in providing not only classical least squares, but also modern robust model fitting methods which are not much influenced by outliers. Includes returns and risk decompositions, with user choice of standard deviation, value-at-risk, and expected shortfall risk measures. "Robust Statistics Theory and Methods (with R)", R. A. Maronna, R. D. Martin, V. J. Yohai, M. Salibian-Barrera (2019)
- Version1.0
- R version≥ 3.5
- LicenseGPL-2
- Needs compilation?No
- Last release11/09/2023
Documentation
Team
Doug Martin
Eric Zivot
Show author detailsRolesAuthorSangeetha Srinivasan
Show author detailsRolesAuthorAvinash Acharya
Show author detailsRolesContributorYi-An Chen
Show author detailsRolesContributorKirk Li
Show author detailsRolesContributorLingjie Yi
Show author detailsRolesContributorJustin Shea
Show author detailsRolesContributorMido Shammaa
Show author detailsRolesContributorJon Spinney
Show author detailsRolesContributor
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- Depends1 package
- Imports17 packages
- Suggests7 packages