Man pages for yukai-yang/FE
Data Sets and Functions for the Course "Financial Econometrics"

betasCompute the betas provided the returns and covariance matrx...
DJ_dDow Jones daily
DJ_wDow Jones weekly
EstCAPMEstimate the CAPM model
factors_mSMB and HML factor as constructed by Fama and French (1993).
Fama_MacBethImplement the Fama-MacBeth two-step cross-sectional...
FEFE: A package for the master and PhD course "Financial...
index_dDaily international stock indexes
LogLikelihoodCompute the log-likelihood function based on the residuals...
minvar_portfolioCompute the minimum-variance portfolio
PCAPrincipal component analysis
portcap_mValue-weighted returns for size portfolios
portfolio_mValue-weighted returns for portfolios
SharpeLintnerImplement the Sharpe-Lintner's version of the CAPM
versionShow the version number of some information.
yukai-yang/FE documentation built on Dec. 14, 2017, 3:12 p.m.