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 ORCID iD [aut, cre, cph]
Maintainer: Alberto Quaini <alberto91quaini at>
License: GPL (≥ 3)
NeedsCompilation: yes
Materials: README NEWS
CRAN checks: intrinsicFRP results


Reference manual: intrinsicFRP.pdf


Package source: intrinsicFRP_0.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
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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