[R-SIG-Finance] Calculating rolling alpha

[Ilya Kipnis]

https://rdrr.io/cran/roll/man/roll_lm.html

I used this in my last contract engagement, so I can vouch that this works
for *exactly* this purpose.

On Wed, Dec 5, 2018 at 8:20 PM Bobbur Abhilash Chowdary <
bobburabhilash using gmail.com> wrote:

> 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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>
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