ChenFang2019BetaRankTest | Asset Pricing Model Identification via Chen-Fang (2019) Beta... |
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... |
HJMisspecificationDistance | Compute the HJ asset pricing model misspecification distance. |
IterativeKleibergenPaap2006BetaRankTest | Asset Pricing Model Identification via Iterative... |
OracleTFRP | Oracle tradable factor risk premia. |
returns | Test Asset Excess Returns - monthly observations from... |
risk_free | Risk free - monthly observations from '07/1963' to '02/2024' |
SDFCoefficients | SDF Coefficients |
TFRP | Tradable factor risk premia. |
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