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facmodCS
View on CRAN: Click
here
Download and install facmodCS package within the R console
Install from CRAN:
install.packages("facmodCS")
Install from Github:
library("remotes")
install_github("cran/facmodCS") Install by package version:
library("remotes")
install_version("facmodCS", "1.0") Attach the package and use:
library("facmodCS")
Maintained by
Mido Shammaa
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-06-15
Latest Update: 2023-06-15
Description:
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.
How to cite:
Mido Shammaa (2023). facmodCS: Cross-Section Factor Models. R package version 1.0, https://cran.r-project.org/web/packages/facmodCS. Accessed 16 Jul. 2026.
Previous versions and publish date:
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Other R packages that facmodCS depends,
imports, suggests or enhances
Complete documentation for facmodCS
Functions, R codes and Examples using
the facmodCS R package
Some associated functions: CornishFisher . calcFLAM . convert.ffmSpec . convert . extractRegressionStats . facmodCS-package . fitFfm . fitFfmDT . fmCov . fmEsDecomp . fmRsq . fmSdDecomp . fmTstats . fmVaRDecomp . fmmcSemiParam . lagExposures . plot.ffm . portEsDecomp . portSdDecomp . portVaRDecomp . predict.ffm . print.ffm . print.ffmSpec . repExposures . repReturn . repRisk . residualizeReturns . riskDecomp.ffm . roll.fitFfmDT . specFfm . standardizeExposures . standardizeReturns . summary.ffm . tsPlotMP . vif .
Some associated R codes: CornishFisher.R . VIF.R . facmodCS-package.R . fitFfM2_rolling.R . fitFfm.R . fitFfmDT.R . fmCov.R . fmEsDecomp.R . fmRsq.R . fmSdDecomp.R . fmTstats.R . fmVaRDecomp.R . fmmcSemiParam.R . plot.ffm.R . portEsDecomp.R . portSdDecomp.R . portVaRDecomp.R . predict.ffm.R . print.ffm.R . repExposures.R . repReturn.R . repRisk.R . riskDecomp.R . summary.ffm.R . tsPlotMP.R . Full facmodCS package functions and examples
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