Other packages > Find by keyword >

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 25 Jun. 2026.
Previous versions and publish date:
No previous versions
Other packages that cited facmodTS R package
View facmodTS citation profile
Other R packages that facmodTS depends, imports, suggests or enhances
Complete documentation for facmodTS
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

sitmo  
Parallel Pseudo Random Number Generator (PPRNG) 'sitmo' Header Files
Provided within are two high quality and fast PPRNGs that may be used in an 'OpenMP' parallel enviro ...
Download / Learn more Package Citations See dependency  
edeaR  
Exploratory and Descriptive Event-Based Data Analysis
Exploratory and descriptive analysis of event based data. Provides methods for describing and select ...
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  
foster  
Forest Structure Extrapolation with R
Set of tools to streamline the modeling of the relationship betweensatellite imagery time series or ...
Download / Learn more Package Citations See dependency  
airGRiwrm  
'airGR' Integrated Water Resource Management
Semi-distributed Precipitation-Runoff Modelling based on 'airGR' package models integrating human i ...
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