extractRegressionStats

function to compute or Extract objects to be returned

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.

Mido Shammaa

facmodCS

Cross-Section Factor Models

Doug Martin

Kirk Li

Avinash Acharya

Lingjie Yi

extractRegressionStats function

<dl><dt>specObj</dt>
<dd>fitFM object that has been already fit</dd>
<dt>fitResults</dt>
<dd>output from fitFfmDT</dd>
<dt>full.resid.cov</dt>
<dd>an option to calculate the full residual covariance or not</dd></dl>

Arguments

extractRegressionStats — extractRegressionStats

<dl>

<dt>specObj</dt>
<dd>fitFM object that has been already fit</dd>


<dt>fitResults</dt>
<dd>output from fitFfmDT</dd>


<dt>full.resid.cov</dt>
<dd>an option to calculate the full residual covariance or not</dd>

</dl>

extractRegressionStats: extractRegressionStats

Description

Usage

Value

Arguments

Details

See Also