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 26 Jun. 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

colormap  
Color Palettes using Colormaps Node Module
Allows to generate colors from palettes defined in the colormap module of 'Node.js'. (see ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
ggblanket  
Simplify 'ggplot2' Visualisation
Simplify 'ggplot2' visualisation with 'ggblanket' wrapper functions. ...
Download / Learn more Package Citations See dependency  
poptrend  
Estimate Smooth and Linear Trends from Population Count Survey Data
Functions to estimate and plot smooth or linear population trends, or population indices, from anim ...
Download / Learn more Package Citations See dependency  
PoisBinOrdNor  
Data Generation with Poisson, Binary, Ordinal and Normal Components
Generation of multiple count, binary, ordinal and normal variables simultaneously given the marginal ...
Download / Learn more Package Citations See dependency  
tactile  
New and Extended Plots, Methods, and Panel Functions for 'lattice'
Extensions to 'lattice', providing new high-level functions, methods for existing functions, panel f ...
Download / Learn more Package Citations See dependency  

27,535

R Packages

236,180

Dependencies

73,223

Author Associations

27,536

Publication Badges

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