AvinashAcharya/Test_factorAnalytics: Development of factorAnalytics package as a part of GSoC-2016
Linear factor model fitting for asset returns (three major types- time series, fundamental and statistical factor models); related risk (volatility, VaR and ES) and performance attribution (factor-contributed vs idiosyncratic returns); tabular displays of risk and performance reports; factor model Monte Carlo, single and multiple imputation methods for simulating returns and backfilling unequal histories.
Getting started
Browse package contents
Package details |
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| Author | Avinash Acharya, Lingjie Yi |
| Maintainer | <acharya@uw.edu>, <lingjy@uw.edu> |
| License | GPL-2 |
| Version | 1.1 |
| URL | http://r-forge.r-project.org/projects/returnanalytics/ |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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