Time Series Factor Models for Asset Returns

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Documentation for package ‘facmodTS’ version 1.0

• DESCRIPTION file.

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