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)
Time Series Factor Models