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facmodTS

Time Series Factor Models

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Install

install.packages('facmodTS')

Monthly Downloads

242

Version

1.0

License

GPL-2

Issues

0

Pull Requests

0

Stars

3

Forks

2

Maintainer

Doug Martin

Last Published

November 9th, 2023

Functions in facmodTS (1.0)

plot.pafm

plot "pafm" object
paFm

Compute cumulative mean attribution for factor models
print.pafm

Print object of class "pafm".
print.tsfmUpDn

Prints out a fitted up and down market time series factor model object
summary.pafm

summary "pafm" object.
predict.tsfmUpDn

Predicts asset returns based on a fitted up and down market time series factor model
plot.tsfm

Plots from a fitted time series factor model
print.tsfm

Prints a fitted time series factor model
predict.tsfm

Predicts asset returns based on a fitted time series factor model
summary.tsfmUpDn

Summarizing a fitted up and down market time series factor model
summary.tsfm

Summarizing a fitted time series factor model
plot.tsfmUpDn

Plot actual against fitted values of up and down market time series factor model
fmVaRDecomp

Decompose VaR into individual factor contributions
fitTsfmUpDn

Fit a up and down market factor model using time series regression
fitTsfm.control

List of control parameters for fitTsfm
fitTsfmLagLeadBeta

Fit a lagged and lead Betas factor model using time series regression
fmCov

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

Decompose ES into individual factor contributions
fmSdDecomp

Decompose standard deviation into individual factor contributions
fitTsfmMT

Fit a market timing time series factor model
facmodTS-package

facmodTS: Time Series Factor Models for Asset Returns
fitTsfm

Fit a time series factor model using time series regression