R: An R Package for Factor Model Asset Pricing

# An R Package for Factor Model Asset Pricing

## Documentation for package ‘intrinsicFRP’ version 2.1.0

- DESCRIPTION file
- Package NEWS
- Package README

## Help Pages

ChenFang2019BetaRankTest | Asset Pricing Model Identification via Chen-Fang (2019) Beta Rank Test
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 estimator
HJMisspecificationDistance | Compute the HJ asset pricing model misspecification distance.
IterativeKleibergenPaap2006BetaRankTest | Asset Pricing Model Identification via Iterative Kleibergen-Paap 2006 Beta Rank Test
OracleTFRP | Oracle tradable factor risk premia.
returns | Test Asset Excess Returns - monthly observations from '07/1963' to '02/2024'
risk_free | Risk free - monthly observations from '07/1963' to '02/2024'
SDFCoefficients | SDF Coefficients
TFRP | Tradable factor risk premia.