R: Cross-Section Factor Models

# Cross-Section Factor Models

## Documentation for package ‘facmodCS’ version 1.0

- DESCRIPTION file
- Package README

## 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