CommonFactors | Factor set of several commonly used factors |
CornishFisher | Cornish-Fisher expansion |
fitSfm | Fit a statistical factor model using principal component... |
fitTsfm | Fit a time series factor model using time series regression |
fitTsfm.control | List of control parameters for 'fitTsfm' |
fitTsfmLagBeta | Fit a lagged Betas factor model using time series regression |
fitTsfmMT | Fit a market timing time series factor model |
fitTsfmUpDn | Fit a up and down market factor model using time series... |
fmCov | Covariance Matrix for assets' returns from fitted factor... |
fmEsDecomp | Decompose ES into individual factor contributions |
fmmc | Compute fmmc objects that can be used for calcuation of... |
fmmc.estimate.se | Main function to calculate the standard errror of the... |
fmSdDecomp | Decompose standard deviation into individual factor... |
fmVaRDecomp | Decompose VaR into individual factor contributions |
managers | Hypothetical Alternative Asset Manager and Benchmark Data |
paFm | Compute cumulative mean attribution for factor models |
plot.pafm | plot '"pafm"' object |
plot.sfm | Plots from a fitted statistical factor model |
plot.tsfm | Plots from a fitted time series factor model |
plot.tsfmUpDn | Plot actual against fitted values of up and down market time... |
predict.sfm | Predicts asset returns based on a fitted statistical factor... |
predict.tsfm | Predicts asset returns based on a fitted time series factor... |
predict.tsfmUpDn | Predicts asset returns based on a fitted up and down market... |
print.pafm | Print object of class '"pafm"'. |
print.sfm | Prints out a fitted statictical factor model object |
print.tsfm | Prints out a fitted time series factor model object |
print.tsfmUpDn | Prints out a fitted up and down market time series factor... |
Stock.df | constructed NYSE 447 assets from 1996-01-01 through... |
StockReturns | Stock Return Data |
summary.pafm | summary '"pafm"' object. |
summary.sfm | Summarizing a fitted time series factor model |
summary.tsfm | Summarizing a fitted time series factor model |
summary.tsfmUpDn | Summarizing a fitted up and down market time series factor... |
TreasuryYields | Treasury yields at different maturities |
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