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: 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) <doi:10.1002/9781119214656>.
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
NeedsCompilation: no
Packaged: 2023-11-08 21:25:50 UTC; marti
Author: Doug Martin [cre, aut],
  Eric Zivot [aut],
  Sangeetha Srinivasan [aut],
  Avinash Acharya [ctb],
  Yi-An Chen [ctb],
  Kirk Li [ctb],
  Lingjie Yi [ctb],
  Justin Shea [ctb],
  Mido Shammaa [ctb],
  Jon Spinney [ctb]
Maintainer: Doug Martin <martinrd3d@gmail.com>
Repository: CRAN
Date/Publication: 2023-11-09 07:30:02 UTC
Built: R 4.6.0; ; 2026-04-26 07:21:15 UTC; unix
