fmmc: Compute fmmc objects that can be used for calcuation of...

In braverock/factorAnalytics: Factor Analytics for Asset Return Data

Compute fmmc objects that can be used for calcuation of estimates and their standard errors

Description

Compute fmmc objects that can be used for calcuation of estimates and their standard errors

Usage

fmmc(R, factors, parallel = FALSE, ...)

Arguments

R	matrix of returns in xts format
factors	matrix of factor returns in xts format
parallel	flag to utilize multiplecores on the cpu. All cores are used.
...	Arguments that must be passed to fitTsfm

Details

This method takes in data and factors as xts objects where multiple time series with different starting dates are merged together. It then computes FMMC objects as described in Jiang and Martin (2013)

Value

returns an list of fmmc objects

Author(s)

Rohit Arora

References

Yindeng Jiang and Richard Doug Martin. Better Risk and Performance Estimates with Factor Model Monte Carlo. SSRN Electronic Journal, July 2013.

braverock/factorAnalytics documentation built on Dec. 16, 2024, 1:05 p.m.