intrinsicFRP: Adaptive Estimation of Intrinsic Factor Risk Premia
Efficient computation of intrinsic and adaptive intrinsic factor risk premia and their standard errors. Intrinsic factor risk premia are defined as the negative factor covariance with the SDF projection on test asset returns. As opposed to benchmark notions of factor risk premia, they are well-defined even in presence of useless and weak factors, they do not depend on the degree of misspecification of the factor model, and are one-to-one linked to two-pass mimicking factor risk premia coefficients, whenever the latter are also well-defined.
| Version: | 0.1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | graphics, Rcpp, stats |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2023-05-15 |
| Author: | Alberto Quaini 
[aut, cre, cph] |
| Maintainer: | Alberto Quaini <alberto91quaini at gmail.com> |
| BugReports: | https://github.com/a91quaini/intrinsicFRP/issues |
| License: | GPL (≥ 3) |
| URL: | https://github.com/a91quaini/intrinsicFRP |
| NeedsCompilation: | yes |
| Materials: | README NEWS |
| CRAN checks: | intrinsicFRP results |
Documentation:
| Reference manual: | intrinsicFRP.pdf |
Downloads:
| Package source: | intrinsicFRP_0.1.0.tar.gz |
| Windows binaries: | r-devel: intrinsicFRP_0.1.0.zip, r-release: intrinsicFRP_0.1.0.zip, r-oldrel: intrinsicFRP_0.1.0.zip |
| macOS binaries: | r-release (arm64): intrinsicFRP_0.1.0.tgz, r-oldrel (arm64): intrinsicFRP_0.1.0.tgz, r-release (x86_64): intrinsicFRP_0.1.0.tgz, r-oldrel (x86_64): intrinsicFRP_0.1.0.tgz |
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