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.
|Author||Eric Zivot, Sangeetha Srinivasan and Yi-An Chen|
|Maintainer||Sangeetha Srinivasan <[email protected]>|
|Package repository||View on GitHub|
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