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facmodTS  

Time Series Factor Models for Asset Returns
View on CRAN: Click here


Download and install facmodTS package within the R console
Install from CRAN:
install.packages("facmodTS")

Install from Github:
library("remotes")
install_github("cran/facmodTS")

Install by package version:
library("remotes")
install_version("facmodTS", "1.0")



Attach the package and use:
library("facmodTS")
Maintained by
Doug Martin
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-11-09
Latest Update: 2023-11-09
Description:
Supports teaching methods of estimating and testing time series factor models for use in robust portfolio construction and analysis. Unique in providing not only classical least squares, but also modern robust model fitting methods which are not much influenced by outliers. Includes returns and risk decompositions, with user choice of standard deviation, value-at-risk, and expected shortfall risk measures. "Robust Statistics Theory and Methods (with R)", R. A. Maronna, R. D. Martin, V. J. Yohai, M. Salibian-Barrera (2019) .
How to cite:
Doug Martin (2023). facmodTS: Time Series Factor Models for Asset Returns. R package version 1.0, https://cran.r-project.org/web/packages/facmodTS. Accessed 31 Oct. 2026.
Previous versions and publish date:
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