Man pages for intrinsicFRP
An R Package for Factor Model Asset Pricing

ChenFang2019BetaRankTestAsset Pricing Model Identification via Chen-Fang (2019) Beta...
factorsFactors - monthly observations from '07/1963' to '02/2024'
FGXFactorsTestTesting for the pricing contribution of new factors.
FRPFactor risk premia.
GKRFactorScreeningFactor screening procedure of Gospodinov-Kan-Robotti (2014)
HACcovarianceHeteroskedasticity and Autocorrelation robust covariance...
HJMisspecificationDistanceCompute the HJ asset pricing model misspecification distance.
IterativeKleibergenPaap2006BetaRankTestAsset Pricing Model Identification via Iterative...
OracleTFRPOracle tradable factor risk premia.
returnsTest Asset Excess Returns - monthly observations from...
risk_freeRisk free - monthly observations from '07/1963' to '02/2024'
SDFCoefficientsSDF Coefficients
TFRPTradable factor risk premia.
intrinsicFRP documentation built on May 29, 2024, 8 a.m.