Module Reference

Linear Asset Pricing Models

LinearFactorModel(portfolios, factors, *[, ...])	Linear factor model estimator
LinearFactorModelGMM(portfolios, factors, *)	GMM estimator of Linear factor models
TradedFactorModel(portfolios, factors)	Linear factor models estimator applicable to traded factors

Estimation Results

LinearFactorModelResults(results)	Model results from a Linear Factor Model.
GMMFactorModelResults(results)	Attributes

Linear Asset Pricing Model Covariance Estimators

HeteroskedasticCovariance(xe, *[, jacobian, ...])	Heteroskedasticity robust covariance estimator
KernelCovariance(xe, *[, jacobian, ...])	Heteroskedasticity-autocorrelation (HAC) robust covariance estimator