residualizeReturns: residualizeReturns
In facmodCS: Cross-Section Factor Models
residualizeReturns R Documentation
residualizeReturns
Description
#' function to Residualize the returns via regressions
Usage
residualizeReturns(specObj, benchmark, rfRate, isBenchExcess = FALSE)
Arguments
specObj
specObj is a ffmSpec object,
benchmark
we might need market returns
rfRate
risk free rate
isBenchExcess
toggle to select whether to calculate excess returns
Details
this function operates on the data inside the specObj and residualizes
the returns to create residual return using regressions of returns on a
benchmark.
Value
the ffmSpec object with resturns residualized
See Also
specFfm for information on the definition of the specFfm object.
facmodCS documentation built on July 9, 2023, 7:32 p.m.
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| residualizeReturns | R Documentation |
residualizeReturns
Description
#' function to Residualize the returns via regressions
Usage
residualizeReturns(specObj, benchmark, rfRate, isBenchExcess = FALSE)
Arguments
specObj |
specObj is a ffmSpec object, |
benchmark |
we might need market returns |
rfRate |
risk free rate |
isBenchExcess |
toggle to select whether to calculate excess returns |
Details
this function operates on the data inside the specObj and residualizes the returns to create residual return using regressions of returns on a benchmark.
Value
the ffmSpec object with resturns residualized
See Also
specFfm for information on the definition of the specFfm object.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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