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

Package details

AuthorEric Zivot, Sangeetha Srinivasan and Yi-An Chen
MaintainerSangeetha Srinivasan <sangee@uw.edu>
URL http://r-forge.r-project.org/projects/returnanalytics/
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("factorAnalytics", repos="http://R-Forge.R-project.org")

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factorAnalytics documentation built on April 15, 2017, 11:18 a.m.