Package: intrinsicFRP
Title: Oracle Estimation and Inference for Tradable Factor Risk Premia
Version: 1.0.0
Date: 2023-09-18
Maintainer: Alberto Quaini <alberto91quaini@gmail.com>
Authors@R: 
    person(given = "Alberto", family = "Quaini", 
           email = "alberto91quaini@gmail.com", 
           role = c("aut", "cre", "cph"),
           comment = c(ORCID = "0000-0002-1251-0599"))
Description: Tradable factor risk premia are given by the negative factor covariance 
    with the Stochastic Discount Factor projection on returns. This package 
    provides efficient computation of tradable and Oracle tradable factor risk 
    premia estimators and their standard errors; see A. Quaini, F. Trojani and 
    M. Yuan (2023) <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4574683>. 
    Tradable factor risk premia are robust to misspecification or weak 
    identification in asset pricing models, and they are zero for any factor 
    weakly correlated with returns. Their Oracle estimator performs as well as 
    if the weak or useless factors were known in advance. This means it not only 
    consistently removes useless factors and factors weakly correlated with 
    returns but also gives rise to reliable tests of asset pricing models.
License: GPL (>= 3)
URL: https://github.com/a91quaini/intrinsicFRP
BugReports: https://github.com/a91quaini/intrinsicFRP/issues
Encoding: UTF-8
RoxygenNote: 7.2.3
LinkingTo: Rcpp, RcppArmadillo
Imports: graphics, Rcpp, stats
Depends: R (>= 2.10)
LazyData: true
Suggests: testthat (>= 3.0.0)
Config/testthat/edition: 3
NeedsCompilation: yes
Packaged: 2023-09-18 11:36:57 UTC; albertoquaini
Author: Alberto Quaini [aut, cre, cph]
    (<https://orcid.org/0000-0002-1251-0599>)
Repository: CRAN
Date/Publication: 2023-09-18 12:40:13 UTC
Built: R 4.2.0; x86_64-apple-darwin17.0; 2023-09-19 10:31:54 UTC; unix
Archs: intrinsicFRP.so.dSYM
