sangeeuw/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.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Eric Zivot, Doug Martin, Sangeetha Srinivasan, Yi-An Chen, Lingjie Yi, Avinash Acharya and Chindhanai Uthaisaad |
| Maintainer | Sangeetha Srinivasan <sangee@uw.edu> |
| License | GPL-2 |
| Version | 2.1.04 |
| 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:
|
