Man pages for facmodCS
Cross-Section Factor Models
| calcFLAM | calcFLAM |
| convert | convert |
| convert.ffmSpec | Function to convert to current class # mido to change to... |
| CornishFisher | Cornish-Fisher expansion |
| extractRegressionStats | extractRegressionStats |
| facmodCS-package | facmodCS: Cross-Section Factor Models |
| fitFfm | Fit a fundamental factor model using cross-sectional... |
| fitFfmDT | fitFfmDT |
| fmCov | Covariance Matrix for assets' returns from fitted factor... |
| fmEsDecomp | Decompose ES into individual factor contributions |
| fmmcSemiParam | Semi-parametric factor model Monte Carlo |
| fmRsq | Factor Model R-Squared and Adj R-Squared Values |
| fmSdDecomp | Decompose standard deviation into individual factor... |
| fmTstats | fmTstats.ffm t-stats and plots for a fitted Fundamental... |
| fmVaRDecomp | Decompose VaR into individual factor contributions |
| lagExposures | lagExposures allows the user to lag exposures by one time... |
| plot.ffm | Plots from a fitted fundamental factor model |
| portEsDecomp | Decompose portfolio ES into individual factor contributions |
| portSdDecomp | Decompose portfolio standard deviation into individual factor... |
| portVaRDecomp | Decompose portfolio VaR into individual factor contributions |
| predict.ffm | Predicts asset returns based on a fitted fundamental factor... |
| print.ffm | Prints a fitted fundamental factor model |
| print.ffmSpec | print.ffmSpec |
| repExposures | Portfolio Exposures Report |
| repReturn | Portfolio return decomposition report |
| repRisk | Decompose portfolio risk into individual factor contributions... |
| residualizeReturns | residualizeReturns |
| riskDecomp.ffm | Decompose Risk into individual factor contributions |
| roll.fitFfmDT | roll.fitFfmDT |
| specFfm | Specifies the elements of a fundamental factor model |
| standardizeExposures | standardizeExposures |
| standardizeReturns | standardizeReturns |
| summary.ffm | Summarizing a fitted fundamental factor model |
| tsPlotMP | Time Series Plots |
| vif | Factor Model Variance Inflaction Factor Values |
