facmodTS
CRANfacmodTSMaRDI QIDQ5980234FDOQ5980234
Time Series Factor Models for Asset Returns
Sangeetha Srinivasan, Eric Zivot, Doug Martin
Last update: 9 November 2023
Copyright license: GNU General Public License, version 2.0
Software version identifier: 1.0
Supports teaching methods of estimating and testing time series factor models for use in robust portfolio construction and analysis. Unique in providing not only classical least squares, but also modern robust model fitting methods which are not much influenced by outliers. Includes returns and risk decompositions, with user choice of standard deviation, value-at-risk, and expected shortfall risk measures. "Robust Statistics Theory and Methods (with R)", R. A. Maronna, R. D. Martin, V. J. Yohai, M. Salibian-Barrera (2019) <doi:10.1002/9781119214656>.
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