DESCRIPTION

Package: FactorAnalytics
Type: Package
Title: Factor Analytics for Asset Return Data
Version: 2.4.2
Date: 2024-12-12
Author: Eric Zivot, Doug Martin, Sangeetha
     Srinivasan, Avinash Acharya, Yi-An Chen,
     Mido Shammaa, Lingjie Yi, Kirk Li, and
     Justin M. Shea
Maintainer: Justin M. Shea <jshea01@uic.edu>
Description: This package combines the work of several researchers focused on
  asset pricing using linear factor models, spanning the course of more than a 
  decade. While the project has matured on github and versions of it are used in 
  production at varous investment firms, we are finally adding it to CRAN for
  ease of access to a wider R user base. The package contains linear factor models 
  for fitting asset returns (three major types-time series, fundamental and statistical factor models); 
  related risk (volatility, VaR and ES) and performance attribution 
  (factor-contributed vs idiosyncratic returns); tabular displays of risk and 
  performance reports; factor model Monte Carlo, single and multiple imputation 
  methods for simulating returns and backfilling unequal histories.
License: GPL-2
Depends: 
    R (>= 3.5)
Imports:
    boot,
    data.table,
    doSNOW,
    foreach,
    lars,
    lattice,
    leaps,
    methods,
    parallel,
    PerformanceAnalytics,
    RCurl,
    RobStatTM,
    robustbase,
    sandwich,
    sn,
    tseries,
    xts,
    zoo
Suggests:
    corrplot,
    HH,
    lmtest,
    R.rsp,
    rugarch,
    strucchange,
    tinytest
VignetteBuilder: R.rsp
URL: https://github.com/braverock/FactorAnalytics
RoxygenNote: 7.3.1
Encoding: UTF-8