chindhanai/factorAnalytics: Factor Analytics

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.

README.md

Vignettes Man pages API and functions Files

Package details
Author	Eric Zivot, Doug Martin, Sangeetha Srinivasan, Yi-An Chen, Lingjie Yi, Avinash Acharya and Chindhanai Uthaisaad
Maintainer	Chindhanai Uthaisaad <chindu@uw.edu>
License	GPL-2
Version	2.0.33
URL	http://r-forge.r-project.org/projects/returnanalytics/
Package repository	View on GitHub
Installation	Install the latest version of this package by entering the following in R: `install.packages("remotes") remotes::install_github("chindhanai/factorAnalytics")`