arorar/FactorAnalytics: Factor Analytics

An R package for the estimation and risk analysis of linear factor models for asset returns and portfolios. It contains model fitting methods for the three major types of factor models: time series (or, macroeconomic) factor model, fundamental factor model and statistical factor model. They allow for different types of distributions to be specified for modeling the fat-tailed behavior of financial returns, including Edgeworth expansions. Risk analysis measures such as VaR and ES, as well as performance attribution for factor models (factor-contributed vs idiosyncratic returns) are included.

install.packages("remotes")
remotes::install_github("arorar/FactorAnalytics")