braverock/factorAnalytics: Factor Analytics for Asset Return Data
Linear factor model fitting for asset returns (three major types- time series, fundamental and statistical factor models); related risk (volatility, VaR and ES) and performance attribution (factor-contributed vs idiosyncratic returns); tabular displays of risk and performance reports; factor model Monte Carlo, single and multiple imputation methods for simulating returns and backfilling unequal histories.
Getting started
Browse package contents
Package details |
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| Author | Eric Zivot, Doug Martin, Sangeetha Srinivasan, Avinash Acharya, Yi-An Chen, Mido Shammaa, Lingjie Yi, Kirk Li, and Justin M. Shea |
| Maintainer | Justin M. Shea <jshea@roosevelt.edu> |
| License | GPL-2 |
| Version | 2.4.1 |
| URL | https://github.com/braverock/FactorAnalytics |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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