| Name : R-facmodCS
| |
| Version : 1.0
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.1.5
| Date : 2024-06-14 11:47:29
|
| Group : Development/Libraries/Other
| Source RPM : R-facmodCS-1.0-lp153.1.5.src.rpm
|
| Size : 0.59 MB
| |
| Packager : (none)
| |
| Summary : Cross-Section Factor Models
|
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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
