Adaptive Estimation of Intrinsic Factor Risk Premia
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Documentation for package ‘intrinsicFRP’ version 0.1.0
Help Pages
| AdaptiveIFRP | Compute adaptive intrinsic factor risk premia |
| factors | Factors - monthly observations from '01/1970' to '12/2021' |
| FRP | Compute factor risk premia from data |
| IFRP | Compute intrinsic factor risk premia |
| OptimalAdaptiveIFRP | Compute optimal adaptive intrinsic factor risk premia |
| returns | Test Asset Excess Returns - monthly observations from '01/1970' to '12/2021' |