Other packages > Find by keyword >

intrinsicFRP  

An R Package for Factor Model Asset Pricing
View on CRAN: Click here


Download and install intrinsicFRP package within the R console
Install from CRAN:
install.packages("intrinsicFRP")

Install from Github:
library("remotes")
install_github("cran/intrinsicFRP")

Install by package version:
library("remotes")
install_version("intrinsicFRP", "2.1.0")



Attach the package and use:
library("intrinsicFRP")
Maintained by
Alberto Quaini
[Scholar Profile | Author Map]
First Published: 2023-05-15
Latest Update: 2024-01-08
Description:
Functions for evaluating and testing asset pricing models, including estimation and testing of factor risk premia, selection of "strong" risk factors (factors having nonzero population correlation with test asset returns), heteroskedasticity and autocorrelation robust covariance matrix estimation and testing for model misspecification and identification. The functions for estimating and testing factor risk premia implement the Fama-MachBeth (1973) two-pass approach, the misspecification-robust approaches of Kan-Robotti-Shanken (2013) , and the approaches based on tradable factor risk premia of Quaini-Trojani-Yuan (2023) . The functions for selecting the "strong" risk factors are based on the Oracle estimator of Quaini-Trojani-Yuan (2023) and the factor screening procedure of Gospodinov-Kan-Robotti (2014) . The functions for evaluating model misspecification implement the HJ model misspecification distance of Kan-Robotti (2008) , which is a modification of the prominent Hansen-Jagannathan (1997) distance. The functions for testing model identification specialize the Kleibergen-Paap (2006) and the Chen-Fang (2019) rank test to the regression coefficient matrix of test asset returns on risk factors. Finally, the function for heteroskedasticity and autocorrelation robust covariance estimation implements the Newey-West (1994) covariance estimator.
How to cite:
Alberto Quaini (2023). intrinsicFRP: An R Package for Factor Model Asset Pricing. R package version 2.1.0, https://cran.r-project.org/web/packages/intrinsicFRP. Accessed 08 Apr. 2025.
Previous versions and publish date:
0.1.0 (2023-05-15 10:20), 1.0.0 (2023-09-18 14:40), 2.0.0 (2023-11-30 10:40), 2.0.1 (2024-01-08 12:20)
Other packages that cited intrinsicFRP R package
View intrinsicFRP citation profile
Other R packages that intrinsicFRP depends, imports, suggests or enhances
Complete documentation for intrinsicFRP
Downloads during the last 30 days
03/0903/1003/1103/1203/1303/1403/1503/1603/1703/1803/1903/2003/2103/2203/2303/2403/2503/2603/2703/2803/2903/3003/3104/0104/0204/0304/0404/0504/06Downloads for intrinsicFRP02468101214TrendBars

Today's Hot Picks in Authors and Packages

ssc  
Semi-Supervised Classification Methods
Provides a collection of self-labeled techniques for semi-supervised classification. In semi-superv ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
seasonalclumped  
Toolbox for Clumped Isotope Seasonality Reconstructions
Compiles a set of functions and dummy data that simplify reconstructions of seasonal temperature va ...
Download / Learn more Package Citations See dependency  
icr  
Compute Krippendorff's Alpha
Provides functions to compute and plot Krippendorff's inter-coder reliability coefficient alpha and ...
Download / Learn more Package Citations See dependency  
sybil  
Efficient Constrained Based Modelling
This Systems Biology Package Gelius-Dietrich et. al. 2012 doi10.11861752-0509-7-125 implements algor ...
Download / Learn more Package Citations See dependency  
dave  
Functions for "Data Analysis in Vegetation Ecology"
A collection of functions accompanying the book "Data Analysis in Vegetation Ecology". 3rd ed. CABI, ...
Download / Learn more Package Citations See dependency  

24,012

R Packages

207,311

Dependencies

64,867

Author Associations

24,013

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA