[R-SIG-Finance] Calculating rolling alpha

[Bobbur Abhilash Chowdary]

Hello R users,

I would like to know if there exists a package/code snippet which can
calculate Fama-French-Carhart 4 factor rolling alpha. The estimation window
should be of at least last 36 months data and a maximum of 60 months. I
have data matrix with 7 columns - company name, Year-Month, Excess return
of stock for the month, and another 4 columns containing Fama French
Carhart factors from Kenneth French's website.

All help is appreciated.

Thanks,
Abhilash.

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