Other packages > Find by keyword >

facmodCS  

Cross-Section Factor Models
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]
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:
No previous versions
Other packages that cited facmodCS R package
View facmodCS citation profile
Other R packages that facmodCS depends, imports, suggests or enhances
Complete documentation for facmodCS
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
schoolmath  
Functions and Datasets for Math Used in School
Contains functions and datasets for math taught in school. A main focus is set to prime-calculation. ...
Download / Learn more Package Citations See dependency  
tibble  
Simple Data Frames
Provides a 'tbl_df' class (the 'tibble') with stricter checking and better formatting than the tradi ...
Download / Learn more Package Citations See dependency  
tarchetypes  
Archetypes for Targets
Function-oriented Make-like declarative pipelines for Statistics and data science are supported in t ...
Download / Learn more Package Citations See dependency  
stevedata  
Steve's Toy Data for Teaching About a Variety of Methodological, Social, and Political Topics
This is a collection of various kinds of data with broad uses for teaching. My students, and academ ...
Download / Learn more Package Citations See dependency  
bbdetection  
Identification of Bull and Bear States of the Market
Implements two algorithms of detecting Bull and Bear markets in stock prices: the algorithm of Pagan ...
Download / Learn more Package Citations See dependency  

27,806

R Packages

239,283

Dependencies

73,837

Author Associations

27,807

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA