Package: intrinsicFRP
Title: Adaptive Estimation of Intrinsic Factor Risk Premia
Version: 0.1.0
Date: 2023-05-12
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: Efficient computation of intrinsic and adaptive intrinsic factor 
    risk premia and their standard errors. Intrinsic factor risk premia are
    defined as the negative factor covariance with the SDF projection on 
    test asset returns. As opposed to benchmark notions of factor risk premia,
    they are well-defined even in presence of useless and weak factors, they do
    not depend on the degree of misspecification of the factor model, and are
    one-to-one linked to two-pass mimicking factor risk premia coefficients,
    whenever the latter are also well-defined.
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: 2023-05-12 17:16:10 UTC; albertoquaini
Author: Alberto Quaini [aut, cre, cph]
    (<https://orcid.org/0000-0002-1251-0599>)
Repository: CRAN
Date/Publication: 2023-05-15 08:20:05 UTC
