Description Usage Arguments Author(s) Examples
Generic function of summary method for
fitFundamentalFactorModel
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1 2 3 |
object |
An object created by
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digits |
integer indicating the number of decimal places. Default is 3. |
... |
Other arguments for |
Yi-An Chen.
1 2 3 4 5 6 7 8 9 10 11 | data(Stock.df)
# there are 447 assets
exposure.names <- c("BOOK2MARKET", "LOG.MARKETCAP")
test.fit <- fitFundamentalFactorModel(data=stock,exposure.names=exposure.names,
datevar = "DATE", returnsvar = "RETURN",
assetvar = "TICKER", wls = TRUE,
regression = "classic",
covariance = "classic", full.resid.cov = TRUE,
robust.scale = TRUE)
summary(test.fit)
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