CommonFactors |
Factor set of several commonly used factors |
CornishFisher |
Functions for Cornish-Fisher density, CDF, random number simulation and quantile. |
dCornishFisher |
Functions for Cornish-Fisher density, CDF, random number simulation and quantile. |
factorModelCovariance |
Compute Factor Model Covariance Matrix. |
factorModelEsDecomposition |
Compute Factor Model ES Decomposition |
factorModelMonteCarlo |
Simulate returns using factor model Monte Carlo method. |
factorModelPerformanceAttribution |
Compute performance attribution |
factorModelSdDecomposition |
Compute factor model standard deviation decomposition |
factorModelVaRDecomposition |
Compute factor model VaR decomposition |
factors |
Factor set of several commonly used factors |
factors.Q |
Factor set of several commonly used factors |
fitFundamentalFactorModel |
fit fundamental factor model by classic OLS or Robust regression technique |
fitStatisticalFactorModel |
Fit statistical factor model using principle components analysis |
fitTimeSeriesFactorModel |
Fit time series factor model by time series regression techniques. |
managers.df |
Hypothetical Alternative Asset Manager and Benchmark Data |
pCornishFisher |
Functions for Cornish-Fisher density, CDF, random number simulation and quantile. |
plot.FM.attribution |
plot FM.attribution class |
plot.FundamentalFactorModel |
plot FundamentalFactorModel object. |
plot.StatFactorModel |
plot StatFactorModel object. |
plot.TimeSeriesFactorModel |
plot TimeSeriesFactorModel object. |
predict.FundamentalFactorModel |
predict method for FundamentalFactorModel object |
predict.StatFactorModel |
predict method for StatFactorModel object. |
predict.TimeSeriesFactorModel |
predict method for TimeSeriesModel object. |
print.FM.attribution |
Print FM.attribution object. |
print.FundamentalFactorModel |
print FundamentalFactorModel object |
print.StatFactorModel |
print StatFactorModel object |
print.TimeSeriesFactorModel |
print TimeSeriesfactorModel object |
qCornishFisher |
Functions for Cornish-Fisher density, CDF, random number simulation and quantile. |
rCornishFisher |
Functions for Cornish-Fisher density, CDF, random number simulation and quantile. |
sfm.apca.dat |
Monthly Stock Return Data || Portfolio of Weekly Stock Returns |
sfm.dat |
Monthly Stock Return Data || Portfolio of Weekly Stock Returns |
stat.fm.data |
Monthly Stock Return Data || Portfolio of Weekly Stock Returns |
stock |
constructed NYSE 447 assets from 1996-01-01 through 2003-12-31. |
Stock.df |
constructed NYSE 447 assets from 1996-01-01 through 2003-12-31. |
summary.FM.attribution |
summary FM.attribution object. |
summary.FundamentalFactorModel |
summary FundamentalFactorModel object |
summary.StatFactorModel |
summary method for StatFactorModel object. |
summary.TimeSeriesFactorModel |
summary method for TimeSeriesModel object. |