sangeeuw/factorAnalytics_Avinash: 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

Package details

AuthorEric Zivot, Doug Martin, Sangeetha Srinivasan, Yi-An Chen, Lingjie Yi and Avinash Acharya
MaintainerSangeetha Srinivasan <[email protected]>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
sangeeuw/factorAnalytics_Avinash documentation built on May 22, 2019, 2:48 p.m.