Files in braverock/factorAnalytics

Factor Analytics for Asset Return Data

R/CornishFisher.R R/VIF.R R/assetDecomp.R R/exposuresTseries.R R/factorDataSetDjia5Yrs.R R/fitFfM2_rolling.R R/fitFfm.R R/fitFfmDT.R R/fitTsfm.R R/fitTsfm.control.R R/fitTsfmLagLeadBeta.r R/fitTsfmMT.R R/fitTsfmUpDn.R R/fmCov.R R/fmEsDecomp.R R/fmRsq.R R/fmSdDecomp.R R/fmTstats.R R/fmVaRDecomp.R R/fmmc.R R/fmmcSemiParam.R R/paFm.r R/plot.ffm.R R/plot.pafm.r R/plot.tsfm.R R/plot.tsfmUpDn.r R/portEsDecomp.R R/portSdDecomp.R R/portVaRDecomp.R R/portVolDecomp.R R/predict.ffm.R R/predict.tsfm.r R/predict.tsfmUpDn.r R/print.ffm.R R/print.pafm.r R/print.tsfm.r R/print.tsfmUpDn.r R/repExposures.R R/repReturn.R R/repRisk.R R/riskDecomp.R R/selectCRSPandSPGMI.R R/stocks145scores6.R R/summary.ffm.R R/summary.pafm.r R/summary.tsfm.r R/summary.tsfmUpDn.r R/tsPlotMP.R R/wtsDjiaGmvLo.R R/wtsStocks145GmvLo.R R/zzz.R README.md demo/vignette-fitFfmDT-06-22-21.R inst/scripts/test-ReturnExposureReporting.R inst/tinytest/test-VIF.R inst/tinytest/test-fitTsfm.R inst/tinytest/test-fmRsq.R inst/tinytest/test-fmTstats.R inst/tinytest/test-portEsDecomp.R inst/tinytest/test-portSdDecomp.R inst/tinytest/test-portVaRDecomp.R inst/tinytest/test-repExposures.R inst/tinytest/test-repReturn.R man/CornishFisher.Rd man/assetDecomp.Rd man/calcFLAM.Rd man/convert.Rd man/convert.ffmSpec.Rd man/dot-fmmc.boot.Rd man/dot-fmmc.default.args.Rd man/dot-fmmc.proc.Rd man/dot-fmmc.se.Rd man/dot-fmmc.worker.Rd man/exposuresTseries.Rd man/extractRegressionStats.Rd man/factorDataSetDjia5Yrs.Rd man/fitFfm.Rd man/fitFfmDT.Rd man/fitTsfm.Rd man/fitTsfm.control.Rd man/fitTsfmLagLeadBeta.Rd man/fitTsfmMT.Rd man/fitTsfmUpDn.Rd man/fmCov.Rd man/fmEsDecomp.Rd man/fmRsq.Rd man/fmSdDecomp.Rd man/fmTstats.Rd man/fmVaRDecomp.Rd man/fmmc.Rd man/fmmc.estimate.se.Rd man/fmmcSemiParam.Rd man/lagExposures.Rd man/paFm.Rd man/plot.ffm.Rd man/plot.pafm.Rd man/plot.tsfm.Rd man/plot.tsfmUpDn.Rd man/portEsDecomp.Rd man/portSdDecomp.Rd man/portVaRDecomp.Rd man/portVolDecomp.Rd man/predict.ffm.Rd man/predict.tsfm.Rd man/predict.tsfmUpDn.Rd man/print.ffm.Rd man/print.pafm.Rd man/print.tsfm.Rd man/print.tsfmUpDn.Rd man/repExposures.Rd man/repReturn.Rd man/repRisk.Rd man/residualizeReturns.Rd man/riskDecomp.Rd man/roll.fitFfmDT.Rd man/selectCRSPandSPGMI.Rd man/specFfm.Rd man/standardizeExposures.Rd man/standardizeReturns.Rd man/stocks145scores6.Rd man/summary.ffm.Rd man/summary.pafm.Rd man/summary.tsfm.Rd man/summary.tsfmUpDn.Rd man/tsPlotMP.Rd man/vif.Rd man/wtsDjiaGmvLo.Rd man/wtsStocks145GmvLo.Rd sandbox/FA-dependency-analysis.R sandbox/FA-dependency-pkgnet-report.Rmd sandbox/FactorAnalytics-Data-08-15-21.Rmd sandbox/R/FF.R sandbox/R/chartCusum.R sandbox/R/chartRobRisk.R sandbox/R/cusumActMgr.R sandbox/R/datasets.R sandbox/R/downloadDataGitHub.R sandbox/R/factorDataSetDjia14Yrs.R sandbox/R/fitSfm.R sandbox/R/install.R sandbox/R/mergeData.R sandbox/R/mktCapGroupsStocksScores.R sandbox/R/plot.sfm.r sandbox/R/portWeights.R sandbox/R/predict.sfm.r sandbox/R/print.sfm.r sandbox/R/repCusum.R sandbox/R/robRiskBudget.R sandbox/R/simulateARL.R sandbox/R/summary.sfm.r sandbox/Vestcor Data Cleaning/spinnj_issue86.R sandbox/data-raw/data-compression.R sandbox/data-raw/getCommomFactor.r sandbox/data-raw/imput-missing-CRSP.R sandbox/data-raw/imput-missing-GICS.R sandbox/data-raw/stocks145scores6-data-compression.R sandbox/data-raw/stocksCRSP_GICSna_compression.R sandbox/script.StyleTest.R sandbox/vignette fitFfmDT New_Doug.R sandbox/vignette fitFfmDT New_Mido.R sandbox/vignette fitFfmDT New_New_Doug.R sandbox/vignettes/fitFfm_vignette_02_20_2021.pdf sandbox/vignettes/fitFfm_vignette_04_09_2018.pdf sandbox/vignettes_nonpackage/cusumActiveManagerVignette.pdf sandbox/vignettes_nonpackage/factorAnalytics Manual.pdf sandbox/vignettes_nonpackage/ffmVignette.pdf sandbox/vignettes_nonpackage/newFactorModelVignette.pdf sandbox/vignettes_nonpackage/robustRiskBudgetVignette.pdf sandbox/vignettes_nonpackage/sfmVignette.pdf sandbox/vignettes_nonpackage/tsfmVignette.pdf tests/tinytest.R vignettes/Fundamental-Factor-Models-FactorAnalytics.pdf