FamaFrench

<p>The portfolios are constructed by the intersections of 10 levels
of size, denoted by \({\rm S}_{1}, \ldots, {\rm S}_{10}\), and 10 levels of the book
equity to market equity ratio (BE), denoted by \({\rm BE}_1, \ldots,{\rm BE}_{10}\).
The dataset consists of monthly returns from January 1964 to
December 2021, which contains 69600 observations for 696 total months.</p>

data

An implementation for high-dimensional time series analysis methods, including factor model for vector time series
proposed by Lam and Yao (2012) <doi:10.1214/12-AOS970> and Chang, Guo and Yao (2015)
<doi:10.1016/j.jeconom.2015.03.024>, martingale difference test proposed by
Chang, Jiang and Shao (2023) <doi:10.1016/j.jeconom.2022.09.001>, principal
component analysis for vector time series proposed by Chang, Guo and Yao (2018) <doi:10.1214/17-AOS1613>,
cointegration analysis proposed by Zhang, Robinson and Yao (2019)
<doi:10.1080/01621459.2018.1458620>, unit root test proposed by Chang, Cheng and Yao (2022)
<doi:10.1093/biomet/asab034>, white noise test proposed by Chang, Yao and Zhou (2017)
<doi:10.1093/biomet/asw066>, CP-decomposition for matrix time
series proposed by Chang et al. (2023) <doi:10.1093/jrsssb/qkac011> and
Chang et al. (2024) <doi:10.48550/arXiv.2410.05634>, and statistical inference for
spectral density matrix proposed by Chang et al. (2022)
<doi:10.48550/arXiv.2212.13686>.

Chen Lin

HDTSA

High Dimensional Time Series Analysis Tools

Jinyuan Chang

Jing He

Qiwei  Yao

FamaFrench function

<p>A data frame with 696 rows and 102 columns. The first column
represents the month, and the second column named
<code>MKT.RF</code> represents the monthly market returns. The rest of the columns
represent the return series for different sizes and BE-ratios.</p>

Format

Fama-French 10*10 return series — FamaFrench

Fama-French 10*10 return series

FamaFrench: Fama-French 10*10 return series

Description

Usage

Arguments

Format