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DESCRIPTION
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DESCRIPTION
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Package: FactorAnalytics
Type: Package
Title: Factor Analytics for Asset Return Data
Version: 2.4.1
Date: 2024-02-03
Author: Eric Zivot, Doug Martin, Sangeetha
Srinivasan, Avinash Acharya, Yi-An Chen,
Mido Shammaa, Lingjie Yi, Kirk Li, and
Justin M. Shea
Maintainer: Justin M. Shea <[email protected]>
Description: 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.
License: GPL-2
Depends:
R (>= 3.5)
Imports:
boot,
data.table,
doSNOW,
foreach,
lars,
lattice,
leaps,
methods,
parallel,
PerformanceAnalytics,
RCurl,
RobStatTM,
robustbase,
sandwich,
sn,
tseries,
xts,
zoo
Suggests:
corrplot,
HH,
lmtest,
R.rsp,
rugarch,
strucchange,
tinytest
VignetteBuilder: R.rsp
URL: https://github.com/braverock/FactorAnalytics
RoxygenNote: 7.3.1
Encoding: UTF-8