DESCRIPTION

Package: facmodTS
Type: Package
Title: Time Series Factor Models for Asset Returns
Version: 1.0
Date: 2023-10-27
Authors@R: c(person(given="Doug",family="Martin",role=c("cre","aut"),
     email="martinrd3d@gmail.com"),
     person(given="Eric",family="Zivot",role="aut"),
     person(given="Sangeetha",family="Srinivasan",role="aut"),
     person(given="Avinash",family="Acharya",role="ctb"),
     person(given="Yi-An",family="Chen",role="ctb"),
     person(given="Kirk",family="Li",role="ctb"),
     person(given="Lingjie",family="Yi",role="ctb"),
     person(given="Justin",family="Shea",role="ctb"),
     person(given="Mido",family="Shammaa",role="ctb"),
     person(given="Jon",family="Spinney",role="ctb"))
Description: Asset returns linear time series factor model
    fitting with both least squares and robust regression; 
    model selection methods; returns factor and residuals
    decompositions; Standard Deviation, Value-at-Risk, and
    Expected Shortfall risk decompositions; tabular
    and graphical risk and performance evaluation.
License:
    GPL-2
Depends: 
    R (>= 3.5)
Imports:
    boot,
    data.table,
    lars,
    lattice,
    leaps,
    PerformanceAnalytics,
    PortfolioAnalytics,
    R.cache,
    corpcor,
    methods,
    quadprog,
    RobStatTM,
    robustbase,
    sandwich,
    sn,
    xts,
    zoo
Suggests:
    corrplot,
    HH,
    lmtest,
    R.rsp,
    rugarch,
    strucchange,
    tinytest
URL: https://github.com/robustport/facmodTS
RoxygenNote: 7.2.3
Encoding: UTF-8