Learn R Programming

facmodCS

Cross section factor models package

Fixing git

Copy Link

Version

Install

install.packages('facmodCS')

Monthly Downloads

207

Version

1.0

License

GPL-2

Issues

0

Pull Requests

0

Stars

2

Forks

2

Maintainer

Mido Shammaa

Last Published

June 15th, 2023

Functions in facmodCS (1.0)

fmVaRDecomp

Decompose VaR into individual factor contributions
fmmcSemiParam

Semi-parametric factor model Monte Carlo
fmTstats

fmTstats.ffm t-stats and plots for a fitted Fundamental Factor Model object
lagExposures

lagExposures allows the user to lag exposures by one time period
fmSdDecomp

Decompose standard deviation into individual factor contributions
fmRsq

Factor Model R-Squared and Adj R-Squared Values
portSdDecomp

Decompose portfolio standard deviation into individual factor contributions
plot.ffm

Plots from a fitted fundamental factor model
portEsDecomp

Decompose portfolio ES into individual factor contributions
portVaRDecomp

Decompose portfolio VaR into individual factor contributions
specFfm

Specifies the elements of a fundamental factor model
print.ffm

Prints a fitted fundamental factor model
roll.fitFfmDT

roll.fitFfmDT
repExposures

Portfolio Exposures Report
repReturn

Portfolio return decomposition report
predict.ffm

Predicts asset returns based on a fitted fundamental factor model
standardizeExposures

standardizeExposures
residualizeReturns

residualizeReturns
riskDecomp.ffm

Decompose Risk into individual factor contributions
print.ffmSpec

print.ffmSpec
repRisk

Decompose portfolio risk into individual factor contributions and provide tabular report
standardizeReturns

standardizeReturns
tsPlotMP

Time Series Plots
vif

Factor Model Variance Inflaction Factor Values
summary.ffm

Summarizing a fitted fundamental factor model
convert

convert
dCornishFisher

Cornish-Fisher expansion
convert.ffmSpec

Function to convert to current class # mido to change to retroFit
fmCov

Covariance Matrix for assets' returns from fitted factor model.
calcFLAM

calcFLAM
fmEsDecomp

Decompose ES into individual factor contributions
fitFfmDT

fitFfmDT
fitFfm

Fit a fundamental factor model using cross-sectional regression
extractRegressionStats

extractRegressionStats
facmodCS-package

facmodCS: Cross-Section Factor Models