R-Finance/FactorAnalytics: factor analysis
Version 1.0

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 fat-tail behavior of the financial returns, including edgeworth expansion type distribution.

Getting started

Package details

AuthorEric Zivot and Yi-An Chen
MaintainerYi-An Chen <[email protected]w.edu>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
R-Finance/FactorAnalytics documentation built on May 9, 2017, 8:43 p.m.