[R] looking for functions that can test/estimate CAMPM, APT, Fama's factor model, etc.

[Leeds, Mark (IED)]

you should also write to the r-finance special interest group. also, you
can do all that stuff yourself
using the R tools/functions etc but I don't know of such functions have
already been written.
joe byers may be able to answer the question. my guess is that, if these
sort of things have
been written, they haven't been done in an available package but I could
be wrong.



-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Michael
Sent: Sunday, November 12, 2006 4:54 PM
To: R-help at stat.math.ethz.ch
Subject: [R] looking for functions that can test/estimate CAMPM,
APT,Fama's factor model, etc.

Hi all,

I am also looking for interesting statistical experiments about testing
and estimating CAPM, APT, Fama models, etc. using R using financial
series data... please give me some pointers... I have been searching the
R archives for the past a few hours and I vaguely got to know that there
are programs do these interesting statistical things, but I just could
not find where are they...

I have found for Matlab there are quite a few interesting experiments
that I can play with:

http://www.mathworks.com/products/finance/demos.html?file=/products/demo
s/shipping/finance/capmdemo.html

But I really hope R can give me more resources and more functionalities
esp.
considering it is an open source and open platform among
statisticians...

Thanks a lot!

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