Covariance estimation

aace-package | Covariance Estimation |

buice | Extractor for identifiers (all) |

devce | Extractor for score on: deviation of rem from x-section mean |

face | Returns decomposed by all factors 1:k, + residual, +... |

fmpce | Factor mimicking portfolio weights (but still in reduced... |

fms2 | Covariance Estimation by modified PCA |

fulce | Extractor for identifiers of columns with no NA (full data) |

genfrdce | Factor risk decomposition by security |

ldgce | Extractor for loadings |

ldggmace | Extractor for loadings * fmp, (colnames=T, rownames=T) |

metce | Extractor for method |

mktce | Extractor for market component of return (factor 1) |

msce | Extractor for components Market+Systematic |

msrtce | Extractor for components Market, Systematic, Residual, Total |

prdce | Portfolio risk decomposition |

quace | Extractor for score on quadratic component |

resce | Residual return |

scoce | Scores |

sdvce | Extractor for standard deviation |

spvce | Extractor for pecific vol |

stce | Market,Systematic,Residual,Total returns, divided by... |

sysce | Extractor for systematic component of return (factors 2:k) |

unqce | Extractor for uniqueness |

vcvce | Extractor for covariance matrix |

vfuce | Convenience wrapper on vcvce(x)$T -the total covariance... |

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