intrinsicFRP

intrinsicFRP is an R package (Rcpp) that provides an efficient implementation of the sample and Oracle tradable factor risk premia estimators based on the methods developed in A. Quaini, F. Trojani and M. Yuan (2023) Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models.

To install the latest stable release on CRAN:

install.packages("intrinsicFRP")