Oracle Estimation and Inference for Tradable Factor Risk Premia
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Documentation for package ‘intrinsicFRP’ version 1.0.0
Help Pages
| ChenFang2019BetaRankTest | Compute the Chen Fang 2019 beta rank test |
| factors | Factors - monthly observations from '01/1970' to '12/2021' |
| FRP | Compute factor risk premia from data |
| HJMisspecificationTest | Compute factor risk premia |
| OracleTFRP | Compute optimal adaptive tradable factor risk premia |
| returns | Test Asset Excess Returns - monthly observations from '01/1970' to '12/2021' |
| TFRP | Compute tradable factor risk premia |