Cross-Section Factor Models

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Documentation for package ‘facmodCS’ version 1.0

• DESCRIPTION file.

Help Pages

calcFLAM	calcFLAM
coef.ffm	Fit a fundamental factor model using cross-sectional regression
convert	convert
convert.ffmSpec	Function to convert to current class # mido to change to retroFit
Cornish-Fisher	Cornish-Fisher expansion
dCornishFisher	Cornish-Fisher expansion
extractRegressionStats	extractRegressionStats
fitFfm	Fit a fundamental factor model using cross-sectional regression
fitFfmDT	fitFfmDT
fitted.ffm	Fit a fundamental factor model using cross-sectional regression
fmCov	Covariance Matrix for assets' returns from fitted factor model.
fmCov.ffm	Covariance Matrix for assets' returns from fitted factor model.
fmEsDecomp	Decompose ES into individual factor contributions
fmEsDecomp.ffm	Decompose ES into individual factor contributions
fmmcSemiParam	Semi-parametric factor model Monte Carlo
fmRsq	Factor Model R-Squared and Adj R-Squared Values
fmSdDecomp	Decompose standard deviation into individual factor contributions
fmSdDecomp.ffm	Decompose standard deviation into individual factor contributions
fmTstats	fmTstats.ffm t-stats and plots for a fitted Fundamental Factor Model object
fmVaRDecomp	Decompose VaR into individual factor contributions
fmVaRDecomp.ffm	Decompose VaR into individual factor contributions
lagExposures	lagExposures allows the user to lag exposures by one time period
pCornishFisher	Cornish-Fisher expansion
plot.ffm	Plots from a fitted fundamental factor model
portEsDecomp	Decompose portfolio ES into individual factor contributions
portEsDecomp.ffm	Decompose portfolio ES into individual factor contributions
portSdDecomp	Decompose portfolio standard deviation into individual factor contributions
portSdDecomp.ffm	Decompose portfolio standard deviation into individual factor contributions
portVaRDecomp	Decompose portfolio VaR into individual factor contributions
portVaRDecomp.ffm	Decompose portfolio VaR into individual factor contributions
predict.ffm	Predicts asset returns based on a fitted fundamental factor model
print.ffm	Prints a fitted fundamental factor model
print.ffmSpec	print.ffmSpec
print.summary.ffm	Summarizing a fitted fundamental factor model
qCornishFisher	Cornish-Fisher expansion
rCornishFisher	Cornish-Fisher expansion
repExposures	Portfolio Exposures Report
repReturn	Portfolio return decomposition report
repRisk	Decompose portfolio risk into individual factor contributions and provide tabular report
repRisk.ffm	Decompose portfolio risk into individual factor contributions and provide tabular report
residualizeReturns	residualizeReturns
residuals.ffm	Fit a fundamental factor model using cross-sectional regression
riskDecomp.ffm	Decompose Risk into individual factor contributions
roll.fitFfmDT	roll.fitFfmDT
specFfm	Specifies the elements of a fundamental factor model
standardizeExposures	standardizeExposures
standardizeReturns	standardizeReturns
summary.ffm	Summarizing a fitted fundamental factor model
tsPlotMP	Time Series Plots
vif	Factor Model Variance Inflaction Factor Values