facmodCS: Cross-Section Factor Models
Linear cross-section factor model fitting with least-squares
and robust fitting the 'lmrobdetMM()' function from 'RobStatTM'; related
volatility, Value at Risk and Expected Shortfall risk and performance
attribution (factor-contributed vs idiosyncratic returns);
tabular displays of risk and performance reports;
factor model Monte Carlo. The package authors would like to thank Chicago
Research on Security Prices,LLC for the cross-section of about 300
CRSP stocks data (in the data.table object 'stocksCRSP', and S&P GLOBAL MARKET
INTELLIGENCE for contributing 14 factor scores (a.k.a "alpha factors".and
"factor exposures") fundamental data on the 300 companies in the data.table
object 'factorSPGMI'. The 'stocksCRSP' and 'factorsSPGMI' data are not covered by
the GPL-2 license, are not provided as open source of any kind, and they are
not to be redistributed in any form.
| Version: |
1.0 |
| Depends: |
R (≥ 3.5) |
| Imports: |
data.table, xts, zoo, PerformanceAnalytics, lattice, methods, sn, tseries, robustbase, RobStatTM |
| Suggests: |
PCRA, corrplot, lmtest, rugarch, HH |
| Published: |
2023-06-15 |
| Author: |
Mido Shammaa [aut, cre],
Doug Martin [ctb, aut],
Kirk Li [aut, ctb],
Avinash Acharya [ctb],
Lingjie Yi [ctb] |
| Maintainer: |
Mido Shammaa <midoshammaa at yahoo.com> |
| License: |
GPL-2 |
| URL: |
https://github.com/robustport/facmodCS |
| NeedsCompilation: |
no |
| Materials: |
README |
| CRAN checks: |
facmodCS results |
Documentation:
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