facmodTS-package: facmodTS: Time Series Factor Models for Asset Returns

In facmodTS: Time Series Factor Models for Asset Returns

facmodTS: Time Series Factor Models for Asset Returns

Description

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) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/9781119214656")}.

Author(s)

Maintainer: Doug Martin [e-mail]

Authors:

• Eric Zivot

• Sangeetha Srinivasan

Other contributors:

• Avinash Acharya [contributor]

• Yi-An Chen [contributor]

• Kirk Li [contributor]

• Lingjie Yi [contributor]

• Justin Shea [contributor]

• Mido Shammaa [contributor]

• Jon Spinney [contributor]

See Also

Useful links:

• https://github.com/robustport/facmodTS

facmodTS documentation built on Nov. 9, 2023, 9:07 a.m.