Man pages for facmodTS
Time Series Factor Models for Asset Returns
| facmodTS-package | facmodTS: Time Series Factor Models for Asset Returns |
| fitTsfm | Fit a time series factor model using time series regression |
| fitTsfm.control | List of control parameters for 'fitTsfm' |
| fitTsfmLagLeadBeta | Fit a lagged and lead Betas factor model using time series... |
| fitTsfmMT | Fit a market timing time series factor model |
| fitTsfmUpDn | Fit a up and down market factor model using time series... |
| fmCov | Covariance Matrix for assets' returns from fitted factor... |
| fmEsDecomp | Decompose ES into individual factor contributions |
| fmSdDecomp | Decompose standard deviation into individual factor... |
| fmVaRDecomp | Decompose VaR into individual factor contributions |
| paFm | Compute cumulative mean attribution for factor models |
| plot.pafm | plot '"pafm"' object |
| plot.tsfm | Plots from a fitted time series factor model |
| plot.tsfmUpDn | Plot actual against fitted values of up and down market time... |
| predict.tsfm | Predicts asset returns based on a fitted time series factor... |
| predict.tsfmUpDn | Predicts asset returns based on a fitted up and down market... |
| print.pafm | Print object of class '"pafm"'. |
| print.tsfm | Prints a fitted time series factor model |
| print.tsfmUpDn | Prints out a fitted up and down market time series factor... |
| summary.pafm | summary '"pafm"' object. |
| summary.tsfm | Summarizing a fitted time series factor model |
| summary.tsfmUpDn | Summarizing a fitted up and down market time series factor... |
