facmodTS - Time Series Factor Models for Asset Returns
Supports teaching methods of estimating and testing time
series factor models for use in robust portfolio construction
and analysis. Unique in providing not only classical least
squares, but also modern robust model fitting methods which are
not much influenced by outliers. Includes returns and risk
decompositions, with user choice of standard deviation,
value-at-risk, and expected shortfall risk measures. "Robust
Statistics Theory and Methods (with R)", R. A. Maronna, R. D.
Martin, V. J. Yohai, M. Salibian-Barrera (2019)
<doi:10.1002/9781119214656>.