An R package for estimation and risk analysis of linear factor models for asset returns and portfolios. It contains three major fitting method for the factor models: fitting macroeconomic factor model, fitting fundamental factor model and fitting statistical factor model and some risk analysis tools like VaR, ES to use the result of the fitting method. It also provides the different type of distribution to fit the fattail behavior of the financial returns, including edgeworth expansion type distribution.
Package details 


Author  Eric Zivot and YiAn Chen 
Maintainer  YiAn Chen <[email protected]w.edu> 
License  GPL2 
Version  1.0 
Package repository  View on GitHub 
Installation 
Install the latest version of this package by entering the following in R:

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