facmodTS - Time Series Models for Asset Returns
Supports teaching methods of estimating and testing time
series 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>.
