intrinsicFRP: Oracle Estimation and Inference for Tradable Factor Risk Premia

Tradable factor risk premia are given by the negative factor covariance with the Stochastic Discount Factor projection on returns. This package provides efficient computation of tradable and Oracle tradable factor risk premia estimators and their standard errors; see A. Quaini, F. Trojani and M. Yuan (2023) <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4574683>. Tradable factor risk premia are robust to misspecification or weak identification in asset pricing models, and they are zero for any factor weakly correlated with returns. Their Oracle estimator performs as well as if the weak or useless factors were known in advance. This means it not only consistently removes useless factors and factors weakly correlated with returns but also gives rise to reliable tests of asset pricing models.

Version: 1.0.0
Depends: R (≥ 2.10)
Imports: graphics, Rcpp, stats
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat (≥ 3.0.0)
Published: 2023-09-18
Author: Alberto Quaini ORCID iD [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_1.0.0.tar.gz
Windows binaries: r-devel: intrinsicFRP_1.0.0.zip, r-release: intrinsicFRP_1.0.0.zip, r-oldrel: intrinsicFRP_1.0.0.zip
macOS binaries: r-release (arm64): intrinsicFRP_1.0.0.tgz, r-oldrel (arm64): intrinsicFRP_1.0.0.tgz, r-release (x86_64): intrinsicFRP_1.0.0.tgz, r-oldrel (x86_64): intrinsicFRP_1.0.0.tgz
Old sources: intrinsicFRP archive

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