An R Package for Factor Model Asset Pricing
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Documentation for package ‘intrinsicFRP’ version 2.1.0
Help Pages
| ChenFang2019BetaRankTest | Asset Pricing Model Identification via Chen-Fang (2019) Beta Rank Test |
| factors | Factors - monthly observations from '07/1963' to '02/2024' |
| FGXFactorsTest | Testing for the pricing contribution of new factors. |
| FRP | Factor risk premia. |
| GKRFactorScreening | Factor screening procedure of Gospodinov-Kan-Robotti (2014) |
| HACcovariance | Heteroskedasticity and Autocorrelation robust covariance estimator |
| HJMisspecificationDistance | Compute the HJ asset pricing model misspecification distance. |
| IterativeKleibergenPaap2006BetaRankTest | Asset Pricing Model Identification via Iterative Kleibergen-Paap 2006 Beta Rank Test |
| OracleTFRP | Oracle tradable factor risk premia. |
| returns | Test Asset Excess Returns - monthly observations from '07/1963' to '02/2024' |
| risk_free | Risk free - monthly observations from '07/1963' to '02/2024' |
| SDFCoefficients | SDF Coefficients |
| TFRP | Tradable factor risk premia. |