Releases: dppalomar/covFactorModel
Releases · dppalomar/covFactorModel
Initial release
This initial release implements the basic methods for factor modeling, i.e., macroeconomic model, BARRA model, and statistical model. There are many other similar R packages. The statistical model is based on PCA but we plan to include an ML estimation approach. We also plan to include the possibility of including many factors for one stock and automatically select the appropriate factors. In the long-term future we plan to implement factor models for heavy-tailed distributions.