facmodTS

Time Series Factor Models for Asset Returns

CRAN Package

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) doi:10.1002/9781119214656.

  • Version1.0
  • R versionunknown
  • LicenseGPL-2
  • Needs compilation?No
  • Last release11/09/2023

Documentation


Team


Insights

Last 30 days

This package has been downloaded 218 times in the last 30 days. More than a random curiosity, but not quite a blockbuster. Still, it's gaining traction! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 13 times.

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0 downloadsMar 2, 2025
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10 downloadsMar 4, 2025
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13 downloadsApr 2, 2025
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The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Last 365 days

This package has been downloaded 2,795 times in the last 365 days. That's enough downloads to impress a room full of undergrads. A commendable achievement indeed. The day with the most downloads was Jan 21, 2025 with 33 downloads.

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.

Data provided by CRAN


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Dependencies

  • Imports16 packages
  • Suggests7 packages