R: Time Series Factor Models for Asset Returns

# Time Series Factor Models for Asset Returns

## Documentation for package ‘facmodTS’ version 1.0

- DESCRIPTION file
- Package README

## Help Pages

coef.tsfm | Fit a time series factor model using time series regression
fitted.tsfm | Fit a time series factor model using time series regression
fitTsfm | Fit a time series factor model using time series regression
fitTsfm.control | List of control parameters for 'fitTsfm'
fitTsfmLagLeadBeta | Fit a lagged and lead Betas factor model using time series regression
fitTsfmMT | Fit a market timing time series factor model
fitTsfmUpDn | Fit a up and down market factor model using time series regression
fmCov | Covariance Matrix for assets' returns from fitted factor model.
fmCov.ffm | Covariance Matrix for assets' returns from fitted factor model.
fmCov.sfm | Covariance Matrix for assets' returns from fitted factor model.
fmCov.tsfm | Covariance Matrix for assets' returns from fitted factor model.
fmEsDecomp | Decompose ES into individual factor contributions
fmEsDecomp.ffm | Decompose ES into individual factor contributions
fmEsDecomp.sfm | Decompose ES into individual factor contributions
fmEsDecomp.tsfm | Decompose ES into individual factor contributions
fmSdDecomp | Decompose standard deviation into individual factor contributions
fmSdDecomp.ffm | Decompose standard deviation into individual factor contributions
fmSdDecomp.sfm | Decompose standard deviation into individual factor contributions
fmSdDecomp.tsfm | Decompose standard deviation into individual factor contributions
fmVaRDecomp | Decompose VaR into individual factor contributions
fmVaRDecomp.ffm | Decompose VaR into individual factor contributions
fmVaRDecomp.sfm | Decompose VaR into individual factor contributions
fmVaRDecomp.tsfm | Decompose VaR into individual factor contributions
paFm | Compute cumulative mean attribution for factor models
plot.pafm | plot '"pafm"' object
plot.tsfm | Plots from a fitted time series factor model
plot.tsfmUpDn | Plot actual against fitted values of up and down market time series factor model
predict.tsfm | Predicts asset returns based on a fitted time series factor model
predict.tsfmUpDn | Predicts asset returns based on a fitted up and down market time series factor model
print.pafm | Print object of class '"pafm"'.
print.summary.tsfm | Summarizing a fitted time series factor model
print.summary.tsfmUpDn | Summarizing a fitted up and down market time series factor model
print.tsfm | Prints a fitted time series factor model
print.tsfmUpDn | Prints out a fitted up and down market time series factor model object
residuals.tsfm | Fit a time series factor model using time series regression
summary.pafm | summary '"pafm"' object.
summary.tsfm | Summarizing a fitted time series factor model
summary.tsfmUpDn | Summarizing a fitted up and down market time series factor model