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)

Model results from a GMM Linear Factor Model.

Linear Asset Pricing Model Covariance Estimators

HeteroskedasticCovariance(xe, *[, jacobian, ...])

Heteroskedasticity robust covariance estimator.

KernelCovariance(xe, *[, jacobian, ...])

Heteroskedasticity-autocorrelation (HAC) robust covariance estimator.