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

Brian G. Peterson brian at braverock.com
Mon Nov 13 14:27:34 CET 2006

On Sunday 12 November 2006 22:41, Michael wrote:
> > 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...

Look at at the 'portfolio' and 'RMetrics' packages.  RMetrics is actually 
a group of packages, not just a single module.  These should give you 
CAPM and more.

I can also recommend this excellent introductory book:
Statistics and Finance: An Introduction by David Ruppert

with R examples available here:

Once you've worked on this for a while, if you need pointers on a specific 
problem, this list may be able to be of greater assistance.


   - Brian

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